People call agarwood as "Wood of God" because they believe it was God who created this fragrant wood. Agarwood is mentioned in many religious scripture. Below are the main ones.

Christian

According to Jehovah's Witnesses

The Bible says that aloes were used to perfume garments and beds. (Psalm 45:8; Proverbs 7:17; Song of Solomon 4:14)

The Bible compares the tents of Israel to “aloes that Jehovah has planted.” (Numbers 24:5, 6) This may refer to the shape of the Agarwood tree, which can reach a height of about 100 feet (30 m) and spreads outward

Agarwood use in Bible

Buddhism 

In Japan, agarwood is said to have arrived with Buddhism. In Vietnam, ancient texts also refer to the use of agarwood about travelling Buddhist monks. (Agarwood: life of a wounded tree)

Muslim

http://www.sahihmuslim.com/sps/smm/sahihmuslim.cfm?scn=dspchaptersfull&BookID=27&ChapterID=950

1. Book 27 of Sahih Muslim, #5601

Nafi’ reported that when Ibn Umar wanted fumigation he got it from aloeswood without mixing anything with it, or he put camphor along with aloeswood and then said: This is how Allah’s Messenger (may peace be upon him) fumigated.

2. Book 55 of Sahih Bukhari, #544

Narrated Abu Huraira: Allah’s Apostle said, “The first group of people who will enter Paradise, will be glittering like a full moon and those who will follow them, will glitter like the most brilliant star in the sky. They will not urinate, relieve nature, spit, or have any nasal secretions. Their combs will be of gold, and their sweat will smell like musk. The aloes-wood will be used in their centres. Their wives will be houris. All of them will look alike and will resemble their father Adam (in the statute), sixty cubits tall.”

3. Book 26 of Sahih Muslim, #5487

Umm Qais, daughter of Mihsan, the sister of ‘Ukasha b. Mihsan said: I visited Allah’s Messenger (may peace be upon him) along with my son who had not, by that time, been weaned and he urinated over his (clothes). He ordered water to be brought and sprinkled (it) over them. She (further) said: I visited him (Allah’s Apostle) along with my son and I had squeezed the swelling in the uvula, whereupon he said: Why do you afflict your children by compressing like this? Use this Indian aloeswood, for it contains seven types of remedies, one among them being a remedy for pleurisy. It is applied through the nose for a swelling of the uvula and poured into the side of the mouth for pleurisy.