The only thing I don't like about world-building is making a pantheon. I hate, hate, hate building pantheons. Any deity I create feels kind of silly to me. I'm never satisfied with my pantheons. As a result, I tend to do one of the following when starting a new campaign:
*When I ran d20 D&D, I just took the plain old Greyhawk holdovers they had in the PHB. Fast, easy, and seldom does anyone in my gaming group give a damn except the cleric. Honestly, if I never play in another campaign featuring Pelor again, it will be too soon.
*Embrace vague dualism reminiscent of the various monotheistic religions popular in our world today; there's the Big Good God and the Nasty Evil God and they fight for control of the universe. It works, but is hokey and oversimplified. (I'm not big on strict Black & White morality) This works pretty well for OD&D where all clerics were essentially the same except for a few spell reversals, but it leaves Neutral clerics high and dry.
*Make the players create their own damn deities. This tends to lead to weird, mishmash, half-created pantheons...or game worlds where the one cleric in the party has a deity and they go otherwise unmentioned.
*Grit my teeth and come up with a set of gods that I don't find overly lame.
I always find that I have no idea how to approach the "assignment" that gods get in many historical pantheons. For instance, why is Apollo god of the sun and of music? Do I need a god of music? What about a god of fire? Do I hand out portfolios at random? I'm never sure when my pantheons are macro or micro enough.
I suppose next time out I could always steal a historical pantheon or three, but to me that always feels like kind of a cop-out; if I'm making the whole damn world, why steal gods? Then again, it worked for the Romans, right?
...on second thought, perhaps cop-out is a harsh term. If you're not running a game based on or set in fantasy Earth, I see no reason to snatch the gods of earth.
Demi-humans open a fresh can of worms. The last few campaign worlds I built, I tried to stray from theistic religion for demi-humans. I usually portray halflings as cheerfully agnostic, if you can even get them to talk about religion. I've had Elves and Dwarves alternate between being a society of atheists to having some old Chinese style ancestor veneration.
I'm not running any D&D in the near future, so I'm off the hook for now, but I've been thinking about building a "ready to go" pantheon for when the time comes, and I need to shake up the way that I do it. For the next campaign, I'm thinking of having religion be something extremely localized. More on this later. (Likely much later)