This is a fantastic and unique subject, so well done! And a good question for the lore minded among us, too.
My Morrowind character, being my first to the series, was not particularly religious. I did not roleplay him with any respect or thought, first or second, toward any deities, and I think it suited him. After all, he was a brash Nord dragged from prison and abandoned in what looked like the god forsaken and unfriendly island of Vvardenfell. I imagine he felt like neither the Nine nor the Princes nor the Three gave a damn about him, and rightfully so.
My Oblivion character was a Dunmer of House Redoran lineage, which would have made him a pious Tribunal worshiper. Of course,
he surrendered to a cautious respect for the Princes and the Nine. Of course, considering what he just witnessed in his home, on top of what he would witness at the end of the Third Era -
- you got to figure the poor mer is awfully confused as to what the hell anyone would want with him anyway. And that's before the whole Shivering Isles episode.
And my beloved Skyrim character is an Imperial, so that would make him a worshiper of the Nine, short and sweet. I've got a soft spot for Stendarr so I'd put my money on that as his divine of choice, which would be fitting for a warrior.
(Conclusion:
man, do the TES games really mess with religion.)