When adding gods to your setting it's often helpful to look at how these religions are organized and how wide spread they are. To that end we're going to look at a few different organisations of religion that you could use for your setting.
Monotheistic: Your setting has a single god. This concept seems simple but it allows for a staggering variety of options. Your one god may be all power and all knowing, carefully orchestrating all events to a perfect and precise end. Or your god may have but a single ability that allows them to affect the world. Perhaps your god only has the ability to decide where a soul goes once it leaves the body. In a high fantasy game you could have a god that can only interact with the world by granting spells and being magically contacted. Likewise a god that can only control random events, the path of a burning flame, the subtle flow of still water, or dreams could all make for fascinating religions. Imagine how different a faithful could be if they could only hear the word of god in the blowing breeze, what places would they worship, what would their temples look like? A monotheistic setting may or may not have a massive organized religion, but if it does, see the "One religion" section below for some ideas for how it might look.
One religion: A singular religion encompasses most or at least a huge portion of the world. Select a single specific pantheon and apply it as the gods of your entire world. This setting benefits from the ability to greatly explore a single religion. Because there's one faith it's easy to give it a lot of depth and detail and to explore it fully. Of course the downside is that it limits your options. If your pantheon doesn't have a god of frost then you might have trouble making use of your cool ice priest concept. A monotheistic religion is much more likely to have great power and influence, which can make them either fantastic backers for the party or can have them serve as fine villains. Of course our real world has many large powerful influential religions, to give all that power to a single group would make quite a powerhouse indeed. Monotheistic religions are generally very neat and organized with categories and classifications for their gods, faiths and practices. At least that's how they /appear/. In truth a huge religion is likely to have many splinter groups, many "blasphemers" who believe in a slightly different religious canon. Not to mention separatists who want to further fragment their religion. Adding to all of this are isolated preachers and priests who have little connection to the church itself, but use its power and influence to spread their own beliefs.
Several large religions: Most world's aren't likely to have just one religion. Normally people grow and develop separately with their own cultures, languages, customs and religions. Some parts of the world may have different pantheons or worldviews and depending on the setting even entirely different and equally real gods. The advantage of this is that you can always squeeze in another religion or god if you need to. You can also create conflicts between various religions, as is so very common in fantasy and reality. The downside is that you may have less chance to fully flesh out all the faith's of your world. The more there is to cover the less attention you can give it naturally.
Tribal and local gods: This breaks the gods down even farther. A particular village may have a local spirit of the fields or wheat. A small clan of goblins may worship a fire god that one of them thought they saw once. Even a single roadside shrine may have a "god" dedicated to it, however small and weak it may be. This makes the status of godhood more attainable, more real, more visceral. A hunting god might actually hunt you through the woods and could, wit planning and skill, even be overcome. This method allows you to use godly foes and encounters even at low levels, and to sprinkle in the supernatural or divine anywhere. The downside is of course that if your gods are smaller and weaker, more akin to spirits, then eventually the notion of a god begins to hold less weight in that setting unless great care is taken.
Hopefully this has provided a few examples of types of religions you can use in your setting. Stay tuned for more on the subject of gods and divinity.