Literally the only god worth worshipping; Lorkhan.
I mean, I don't think I'd pray or perform rituals or any of that religious stuff. But I know what Lorkhan stands for and what was meant to be achieved. I agree with him. Elves want to unmake creation, I want keep it going until the next world comes. Heck, if I'm lucky I could create the next world.
I would pledge my soul to lord Molag Bal, for he is the progenitor of Vampires, my favorite blood to be had. Sure, transforming into a Werewolf and going on a murder spree sounds fun and chaotic, but what could be better than silently killing and manipulating mortals from the shadows, slowly dwindling their numbers as they cower from an enemy they cannot see or comprehend? Having the Vampiric Grip glitch in your left hand is just a nifty bonus. :D
Also the Mace of Molag Bal is the most brutal weapon I can think of. So yea, there's also that.
Not all Elves want to unmake the world. There are two distinct philosophies on the matter, though one view is, granted, a lot less popular among the Elves. Something to do with seeing the value of what Lorkhan did as a testing ground for transcendence. While I'm not sure if an Elf holding that view would actively worship Lorkhan, they would understand why what he did was necessary and accept it. Like I said, though, a rather unpopular view.
The Dunmer, and it's Lorhan's secret that Boethiah told Veloth and the Chimer. You could've tried correcting me too that not all the races of men see Lorkhan in the same way. But I thought it was unnecessary to get into these details in the context of the question posed by Edana. I explain it enough in the Lore Group.