D&D, as with most fantasy fiction, has its share of fictional pantheons (before I get some evangelical atheist here saying "all pantheons are fictional" - by fictional I mean that people in the real world don't believe in/worship them). Generally, I think the model for most of these pantheons is the Greek one, which is probably the most broadly known pantheon among western audiences. Certainly, the Norse and to an extent the Egyptian pantheon are also influential here, as well as those that go beyond the European/Mediterranean region (Tiamat, for example, is from Mesopotamian myth, though she's not so much a five-headed dragon but the grand oceanic being who was slain and split in two, the bottom half becoming the ocean and the top half becoming the sky, which they thought of as being water as well).
The idea of gods seems to be a pretty universal human concept, but at the same time, I think different cultures and people of different eras had very different ways of conceptualizing them.
In our modern era, monotheism is extremely widespread, considering that Christianity and Islam, both taking Jewish myth (my use of the term myth is not meant to denounce these beliefs as false, just that it's the underlying story the religion considers as the basis for its ethical/moral/philosophical tenets) as their basis while adding stories and philosophical concepts that branched off (one thing I also think should be noted is that it's not like Judaism stopped evolving and developing when Christianity came along, just as Christianity did not remain static after Islam war born, and all three have spent the intervening millennium-plus changing and evolving with their practitioners). Given the vast popularity of Christianity and Islam, (Jews, who have not evangelized for a very long time, have a much smaller population) over half the global population believes that God is a singular being.
Thus, I think it's interesting that, in our fantasy worlds, we tend to prefer this more Greco-Roman style of polytheism. It's almost a sign that you're in a fantasy world when someone says "thank the gods" rather than "Thank God."
And yet, I think that our monotheistic culture still tends to inform how a lot of people play characters in a D&D game.
Two classes are classically associated with deities - the Cleric and the Paladin, being the two "divine" spellcasters (in some parallel universe, I wonder how D&D'24 would look had they stuck with this distinction - I think they probably made the right choice to ensure that classes had clearer identities, but I really like the concept of these three types of magic, arcane, primal, and divine, being distinct). Thus, I think a lot of players assume that if you have one of those classics, you won't shut up about your god, while if you don't, you can basically ignore the existence of the gods.
This, I think, has always struck me as kind of... wrong.
After all, most people aren't priests or clergy of any kind, but even if irreligiosity has generally been on the rise (as someone who's a secular agnostic humanist, more or less, I think most people would put me in that camp,) still the majority of people alive today believe in some kind of religious faith. Now, sure, if you're a fantasy nerd, you might be in a demographic category that is less likely to be religious (though plenty of religious people play D&D) but historically, religiosity is kind of the default assumption. Indeed, in the pre-scientific/enlightenment world, there weren't a lot of alternative explanations for how the universe worked, so unless you were just apathetic, you probably listened to what your spiritual leaders had to say (and in a lot of societies, at least claiming to believe this stuff was mandatory - I'll certainly grant that there are probably far more atheists/agnostics than are reported given the social pressure, sometimes under threat of violence, to profess a belief).
But we're actually not even quite at the point that I'm trying to make: I think a lot of players take worshipping one god or another as, effectively, belonging to one religion or another. Your character worships that one god to the exclusion of all others. Now, in monotheism, that makes sense, because you literally don't believe the other gods exist (though this doesn't seem to have always been the case: Exodus even mentions God - as in the god of Abraham - as being mightier than the gods of Egypt, which seems to imply that those other gods actually do exist, and only that the god of Moses is the supreme one that will best all others. Again, belief systems evolve over time). Of course, the funny thing is that the most prominent monotheistic religions in the world (admittedly, I'm not talking about Hinduism here because that's a weird case where it sort of looks like polytheism but technically isn't... at least as I recall from my like 7th grade world religions unit in social studies) actually consider their singular god to be the same being, with disagreements over which revelations to humanity are legitimate and which are not.
The point is, while a citizen of Athens would probably have a special spot in their heart for Athena, the Greeks all believed in all of the gods. Your worship of Athena did not prevent you from worshipping Zeus or Poseidon. It's just that these gods had different purposes. Pray to Poseidon when you're going on a sea voyage, or pray to Demeter when you're planting your crops for the year.
Now, for sure, the way that you structure your D&D world might work differently, and maybe these deities are all effectively their own religions. But I would just encourage you, and especially players in someone else's setting, to consider how they'd be likely to interact with these deities. For example, my wizard, who exists in the Wildemount setting, is not a divine spellcaster, but as a member of the Cobalt Soul, he naturally has a special devotion to the Knowing Mentor (I think CR is distancing their deities from the names created for D&D as they try to make their own brand, so while I think Ioun is still the official name of the KM, I don't know if that will always be canonical,) but he still has faith in gods like the Platinum Dragon or the Wildmother.
And this can extend to evil deities. Notably, in Greek myth, the gods aren't divided as a group of "good" and "evil" gods. Certainly, some skew far more one way or another - Athena is basically always benevolent (fitting given that we get most of our Greek mythology from Athens) while Ares is pretty much always evil (though Aprhodite is into him - is that the first instance of the "girls like bad boys" trope?) Still, even Ares might be given a sacrifice before a battle - not so much a "we love you so much" kind of offering as much as a "please leave me alone" one, given that Ares was a god of pain, death, cowardice, and all the worst aspects of war, and none of the heroism or honor (that was more Athena).
But another aspect of Greek myth is that the gods were very anthropomorphic, not just in appearance but in temperament. Zeus, while projecting all the awe and majesty of being the patriarch of the gods, was also a little horndog who went around fathering bastard demigods. If you learned your Greek myth from the Disney cartoon, you wouldn't realize that it was Hera, not Hades, who was Heracles (Hercules is the Roman name) so much grief over his life, basically because she despised him for being her husband's bastard. (Also cut from the Disney movie for some reason: Heracles has to do his twelve labors because he went crazy and murdered his own children.)
Basically, even if the gods were the embodiments of all these forces of nature and reality, the Greeks viewed them as deeply flawed people. Some philosophers didn't like this, feeling that the gods should be pure moral pillars, so it's kind of interesting that Christianity was heavily shaped by the Greeks, who wrote some of the gospels and basically made the religion into what it was as it spread through Europe. In stark contrast to the philandering Zeus, Jesus and the father that he also kind of was because of that whole trinity mystery is a flawless embodiment of goodness, only growing wrathful in the face of evil. Clearly, as a religious idea, this one caught on quite well.
Thus, another question regarding worldbuilding is the degree to which your deities are anthropomorphic. Interestingly, in the Exandria setting created by Matthew Mercer for Critical Role (where my Wizard is from,) the current campaign is really focused on how the gods are... both very anthropomorphic and also very alien. We actually get an origin story for them in a weird side-campaign-inside-the-main-campaign, where their nature is revealed to be quite alien indeed, but still bound within the idea of a family. Notably, as well, the gods didn't really create Exandria, though they shaped it considerably and created the mortal races on it. Now, this is actually somewhat in common with the Greek (and Norse) mythologies, in which the Olympians, for example, are actually a few generations removed from the actual creation of the world, and Zeus basically usurped his father Cronus' role as top deity - something that Cronus had effectively done with his father Ouranos/Uranus.
This is in pretty stark contrast with the monotheistic notion that God was all that existed before the universe, and that creation only happened in the first place because They created it.
So, as a worldbuilder, which do you prefer? More anthropomorphic deities can potentially have a more relatable personality, and can effectively act as important NPCs in your game. But I think you also run into the risk of making them feel... less godly. Certainly, this person-like visage might be just one face that a much grander and deeper figure wears - indeed, I think if you're having gods in your setting, it almost has to be - but a more distant and abstract kind of deity does not necessarily limit your ability to tell an epic story.
I, for one, like there to be some ambiguity in my narratives (I've been playing a lot more Elden Ring lately, and the worldbuilding in FromSoft's games always leaves massive room for interpretation and theorizing, including who, among the many characters in their worlds, including the player, is actually morally right in what they're doing) and so I think a strong choice, if you're up for it, is making the answer "it's up for debate." Just as theologians and philosophers have argued and speculated on the nature of divinity, I think that those questions can be a driver of drama and conflict within your D&D setting.
Hell, consider that your setting might have a God of the Sun and a God of Stars (mine does). Sure, your world might look more like the medieval model of the cosmos in which the Sun is just the largest and brightest "planet" in orbit around the world, making these two ideas totally separate, or you could have astronomers on this world discover that stars are actually just distant suns (or, to frame it another way, that the sun is just our nearest star,) you know, like how we understand it in the modern age. But these deities still both exist. What, then, does that mean? I mean, both are probably capable of empowering Clerics of the Light domain. Are they secretly the same deity? Or does the distinction between them as entities actually imply that there is a distinction between some giant balls of hydrogen so massive that they undergo nuclear fusion and other such balls that are just more distant from us?
Mystery, as a word, in the modern day usually describes a perplexing question: something unexplained that the investigator is tasked with unveiling. Detective heroes like Sherlock Holmes or Hercule Poirot are rationalist heroes who are able to piece together evidence to arrive at the truth. But mysteries in a religious context tend to be sort of unresolvable - paradoxes that are nevertheless held to be true. In Christianity (and especially Catholicism,) God is a singular entity, but appears in three separate aspects: the Father, the Son, and the Holy Spirit. The Father is not the Son, and neither is the Holy Spirit, and yet all three are God. The fact that this doesn't actually make any sense (in mathematical terms, it violates the transitive property) and yet, if you believe in the trinity, you hold it to be true, is the Mystery, and that necessity to quiet your rational mind is seen by some as a way to behold a deeper spiritual truth.
Mysteries, in this sense, can potentially create some interesting texture to your world. And, it allows for the people within that world to come into conflict over the interpretation of that mystery (the nature of that conflict, and the stakes of it, of course being up to you).
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