In real life I'm an atheist, but seeing how the Et'Ada can be objectively proven to exist, I'd have no problem doing the occasional favor for one of the Divines or a "good Daedra" or two. That said, I'm really interested in the pantheon of the Redguards, especially Satakal, Tall Papa, and the god of "Nobody Cares".
My more knightly characters mainly worship mara, my bosmeri characters worship Y'ffre, the forest deity, my werewolves worship Hircine, and go on nightly raids to fill their hunger, and my vampire characters worship Molag Bal and go on purges every 15th of a month with the mace of Molag Bal.
I am intrigued by the Dwemer case, they had refused the religions to accepted the science and technology...We can say that they were atheists, for this reason I love them...but lore explains that with the Heart of Lorkhan, the Dwemer created their God and were punished for this and perhaps disappeared forever...Omnipotence paradox
I always tend to lean towards one of the Daedra, just because, in my oppinion, that makes for the most interresting gameplay.
But that's just because i quite like the evil side of my characters, so I tend to put a lot of focus on that.
Also, I just think gameplay-wise, the Daedra offer cooler rewards
Zenithar is my guy. Commerce or craftsmanship, sometimes both, is something my characters always understand, so he is the logical choice. Make stuff in his name, go on a pilgrimage and leave them at his shrines. Mine everything. Heroes and villains alike can do it, making it a safe choice.
Since I usually [read: only] play Mer in the Elder Scrolls games, I tend to favor their pantheons. If I am playing a pious Dunmer, I will worship their gods, which obviously depend on the time period. If I play a pious Bosmer or Altmer, I will worship one or all of their gods. For instance, my Bosmeri bard was a devout follower of Y'ffre, including the cannibalism! I have to admit, however, that the Yokudans had the coolest gods ever. It is a shame that the Redguards' original continent sank into the ocean, but I guess they believe that Satakal will come up with something for the next kalpa.