I'm not super-fond of the default pantheon, so I adopted a "write it yourself" approach with the domain feats in DP. The write-up is long, so I've put it in a spoiler block.
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The Divine Presence
In the land of the Burning Sky, the gods are distant but the spirits are close.
The gods are distant in that, although the people of the many kingdoms are devout and worship the gods and there many people who employ divine power to worldly ends, the gods themselves do not make their will or their nature well known to mortals. Mortal priests must search their faith (possibly through enigmatic divination) and themselves to determine what their gods command. It is commonly said that the gods favor certain people (Emperor Coaltongue, for example), but you don't hear of avatars and exarchs running around telling people what to do. (Such creatures might exist in the world, but there is nothing intrinsicly different between an exarch and a powerful demon that says he's an exarch.) Certainly, you shouldn't expect the climax of the campaign to be a battle against Orcus.
The spirits are close in that, the world has many spirits -- some good and some evil -- and that people fear and (in the case of primitive people) revere them in their daily life. In fact, the most common prayer to gods is protect them from evil spirits. When someone dies, the survivors care a great deal about making sure that the deceased's spirit makes it to the land of the dead unmolested. Similarly, a woodsman might pray quite devotely to the Lord of Forrestry to protect him from angry spirits of the wood.
The Hundred
The dominant religion in the Lands of the Burning Sky is known as "The Hundred". The Hundred is made up of many dieties (with no exact or fixed number). each of which have a mortal activity as their portfolio. For example, there is a God of Judges, a Goddess of Farmers and a Lord of Smiths. These deities are generally referred to as the "Lord", "Lady", "God", "Goddess", "Master" etc... of their particular area, although names can be used too. (The names are generally just "Goddess of X" in some other language.) Sometimes these activites can be abstracted into concepts (e.g. the God of Judges is also the Lord of Justice and the Lord of Warriors is the God of Battle), but these concepts are still mortal concepts. There is not, for example, a God of the Sea, although there is a Goddess of Sailors.
(There is no fixed gender amount deities. A priestess of the Lady of Healing and a priest of the God of Healers would have differences in litergy, but nobody would doubt that they are worshiping the same divine being.)
In contrast, the spirits tend to be beings of nature that don't have a direct care over mortal concerns, at least until mortals impinge on their domain. There are important legeands of the major primordial spirits who helped in the creation of the universe, but these aren't worshiped on a daily basis. Even in spirit-focused communities, it isn't considered useful to pray to Oceanus because such a mighty spirit will not deign to respond to mortal matters. Nonetheless, it is fashionable to look towards these great primordial spirits as proxies for noble ideas, in much the same way that the British made use of Greek mythological figures.
Temples are almost always focused on a particular god, and all (trained) priests are ordaned by an individual temple in the rites of a particular deity. Nonetheless, nearly all priests also learn devotions from other temples. So, for example, a priest of battle will commonly learn the devotions to the God of Farming if he is to serve in a rural community. In particular, all priests learn the devotions of the Lord of Undertakers (almost always from their own temple), since those devotions include the final rites to be performed on the dead. Those rites involve putting on a mask made from an animal skull, which signals the deceased's spirits connect and return to the natural world and seeks to frighten evil spirits away.
The Undertakers
Under Emperor Coaltongue, Laska (his mistress of spies) recruited a number of clerics (and other divine casters) to hunt down evil spirits, in addition to simply scaring them away from the undead. In practical terms, this involved a lot of hunting down wizards (and other arcane and primal casters) who were commonly accused on summoning or having dealings with evil spirits. Over a few decades, this spirit hunting involved into a full inquisition.
The height of the inquisition became apparent when the Undertakers (who wear bear skulls whenever they are performing their duties -- whether they involve the living or the dead) started developing a new philosophy. Under Laska, it became possible to devote yourself to the Lord of Undertakers simply by "undertaking" service to the emperor. This heresy did not cause any great change to the Inquisition under Coaltongue, but since his death, the Undertakers have taken over much of Ragesia's government and beaurocracy.
PCs and Gods
First, if you're not playing a divine character, you don't need to pick a religion. Plenty of people are "genericly devout" (or to be more accurate, "genericly superstitious").
Second, anyone can make up a god that you want to worship. If it's an important part of your character, shoot it to the list so other folks can consider creating a bond of common religion. Otherwise, make up as much as you think will be helpful and let me know what you have in mind so I can try working it into the world. If you're playing a divine character, you should definitely do this.
As far as rules mechanics go, divine characters can spend a feat to choose a special "Channel Divinity" power based on his or her deity. Fortunately, D&D provides a generic way to handle this. There are 33 domains (full list below) and each one includes a channel divinity feat (that gives you a new option for your channel divinity) and a domain feat (that improves one of your at-will attacks and gives you a small feat bonus to one skill). When you create your god, pick any 3 appropriate domains from the list, and you will have access to those 6 corresponding feats.
The Domains
Arcana, Civilization, Change, Creation, Earth, Fate, Freedom, Death, Destruction, Hope, Justice, Knowledge, Life, Love, Luck, Madness, Moon, Poison, Protection, Sea, Skill, Storm, Strength, Strife, Sun, Torment, Trickery, Tyranny, Undeath, Vengeance, War, Wilderness, Winter
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-KS