I've given a glimpse into the jumble of religions I'm including in my Wilderlands campaign, and it might seem an odd mess, with known fiends as acting gods, Greyhawk deities, etc., but it's coming together organically, and it's much easier to just let them drift in, as I've been doing, than having to keep track of (in some cases) hundreds of established gods.
Like everything else in the campaign, I'm trying to let religion come about organically. My first cues were letting the PCs pick their deities, telling them that religion was open as far as their characters go, and since we were using the Pathfinder core book for character creation, Steve and Taylor went with gods listed in there from Paizo's Golarion campaign setting: Gorum and Asmodeus.
The first two deities in my game were decided then, and Angela followed suit after we started talking about her character, and selected Iomedae, bringing the Golarion gods to 3, 4 with Chris' worshipper of Zon-Kuthon. Paul's athiest, John's animist, and David's self-worshipper rounded out the party.
Through the course of the game, there has been mention of Thor, Baldur, Armadad Bog, and Shang Ta, and the PCs have met clerics of Huan Ti, Tharizdun, and Modron. This keeps divine spellcasting on a smaller scale, and much more "respectable," as you can't always run to a cleric and expect healing, etc. I think it has changed the dynamic of the game slightly that the PCs don't see a caster on every corner. I'm liking sprinkling in religion, and I think more focus can be put on the various practices and ethos when done as I'm doing it.
Again, I'm not patting my own back. There is nothing revolutionary here, just sharing my thoughts on one aspect of my game, how I implement it, and how I feel it helps set the overall tone.