So far, this has been the hardest choice to have made, even more difficult than choosing a gameworld.
Though many of the divinities from various Dungeons & Dragons campaigns appeal to me, as do a few of the greater powers from the Elric mythos, as presented in game materials I have seen, I have to say that Games Workshop has presented, in my eyes, the most compelling gods to be worshiped by rpg characters.
The God-Emperor of Mankind, from the Warhammer 40,000 line, would be my first choice because the idea of nobody really knowing what, or even if, the giant corpse on the great machine that is his ostuary throne wants from his followers, so you have sects so radical and outlandish, spread all throughout the reaches of this galactic empire makes for insanely entertaining storytelling and characterization.
As much as I like the idea of the God-Emperor, however, it's another Warhammer deity, this one from the Fantasy line, that I have to choose as my favorite. This god is Morr, lord of death and dreams. Depicted as a man of noble, sombre bearing, draped in dark finery and cloaks, the god of the dead, death, and dreams, and holds some minor influence over prophecy, illusions, and safe passage.
Though Morr will have his accounting of the dead, and promotes his clergy to bring death to those who would cheat it or are abominations to life itself, he disdains murder, which is the domain of his younger brother, the god Khaine.
Champions of Morr are depicted as unflagging in their pursuit of finding Morr his due, and due to the compelling and engaging nature of these cold, untiring reckoners, I find Morr to be the most interesting deity to have as a patron for a PC (at least at the moment. This is one of those categories in flux with me.