Is there such a thing as worshipping the wrong god?

I am an atheist and Ex-Hindu. I used to watch Stephen Colbert (American and Catholic) on Comedy Central before his current more famous tv show. In one of episodes, he was talking about Hinduism, and said "Hindus worship the wrong gods" (google search would back me up on this), which I found fascinating -- this point of view about other religions. I admit that Hinduism seems to have a lot of issues, such as infamous caste system. I would like to know if this point of view was intended as a joke, or do people think that there is such a thing as "worshipping the wrong gods"?