This question is one that holds particular interest for me. I am personally interested in religion, but not "just" the theological implications of religion, but also the sociological, philosophical, and political ramifications of it. So when answering this question, I have to ponder such concerns.
From Saggakar, I am extremely partial to the Dark Gods of the First Ones. I love the progression they have and how they mimic life. From youth and rebellion (The Zeal), to middle age and conquest (The Warrior), to older age and dominion (The Law). These "deities", make sense to me as guides and mimicking worshipers' way of life. They provide a path of life, set goals, form political lines and create natural alliances among worshipers. Yet they are not "true" deities, instead being deification of the First Ones themselves.
See... that philosophy reference?
From other pantheon, I will admit to liking the Greco-Roman Hermes/ Mercury. As the god of travel, commerce, and messenger of the gods. I think he has a portfolio that is really cool. Not only that, but through the addition of local attributes, he was associated with a number of gods throughout the ancient world: such as Anubis in Egypt and Lugh in Celtic lands.
Not to mention that, as messenger of the gods, he is associated with Nyarlathotep...