David Eddings is on record as saying that when he designed the world of The Belgariad, he chose a pagan pantheon because it was more interesting than a christian one (“pagan” just means non-christian, by the way). By that, I imagine he meant he preferred a multitude of gods in his world rather than one single one. For the sort of fantasy world he built, one god was just not going to work.
But that’s not necessarily true.
Most fantasy worlds like Eddings’ have a pantheon of gods – several of them in power, who may or may not be related but certainly know about each other and often fight each other (the Greek mythology would be pretty barren if their gods weren’t so ready to fight and trick each other). A pantheon doesn’t have to be huge: Eddings created less than a dozen. Another fantasy writer, Raymond E. Feist, did the same thing. The godly pantheon of Midkemia has only a handful of gods. By contrast, the world of the Forgotten Realms has dozens – then again, there have been dozens of writers over several decades busy creating in that world. On the other hand, all the gods in the Forgotten Realms still know each other: so there is a basic consistency of existence to all three scenarios.
The same also applies to the pantheon in Terry Pratchett’s Discworld. But Sir Terry has also managed to come up with a neat way for new gods to be made. Gods in the Discworld depend on having enough believers. This is how new godlings get power and can also defeat both neighbouring gods and older gods. Likewise, lose enough followers, and a god will die. This is brought home to the formerly great god Om in the book Small Gods, who at the start of the story has just one, single believer. It takes him a while to come to terms with this, and it could therefore be argued that both Brutha and Om share the rôle of protagonist.
Here in the real world, the existence or non-existence of any sort of god-like being(s) is open to controversy. What is not in dispute, however, is that for many centuries, the teachings of both major monotheistic religions – Christianity and Islam – have staunchly refused to acknowledge the existence of other gods. Both are a pantheon of one. This continues in the face of other major world religions that have multiple gods, for example Hinduism.
World-builders often have more interesting tasks on their hands than creating gods. The peoples over there in those mountains need a god? Okay, there’s a suitable one in the list I drew up a month ago. And the merchants from that river will recognise him. All nice and tidy.
When a writer of a fantasy world starts getting seriously into the anthropology of their invention, a simple pantheon might not be enough anymore. In fact, it probably should get a lot more complicated: there is no reason why your world, depending on how large it is, could not have several competing pantheons of gods. There may well be no reason at the outset for them to be compatible, or to even exist. Or you can take it further and make a suitable subset actually exist in your world, even if they aren’t compatible. Unless your story involves the gods themselves, you will probably not have a need to reconcile this.
It comes down to this: if Eddings had chosen a single-god route for The Belgariad, he would have still had had to create “gods” that don’t exist for many of his people to worship. This is what I believe applying modern anthropology to world-building means.
This might not suit your style of story. It might not suit your world. On the other hand, maybe it will.