When I Roleplay a Khajiit, I never really know how to respond to the Aeda/Daedra, I know that some of the gods in Khajiit culture are the same gods in other cultures but with different names. For instance Sheogorath is called Sheggorath, The Skooma Cat.

How did the Khajiit come to be? Which gods are the most worshiped in Khajiit culture and why?

http://www.imperial-library.info/content/words-clan-mother-ahnissi-her-favored-daughter

That above explains Khajiit creation, they were basically shapeshifting Ehlnofey just like the Bosmer, but instead of being given fixed forms by Y'ffre, they were bound to the Lunar Lattice by Azura (personally I don't buy that anymore, as MK revealed that the Khajiit were created by "an Earthbone who had a fetish").

http://www.imperial-library.info/content/varieties-faith-empire

And here you can find Khajiit gods.

Is there more to that? xD If there is I would like a link please. Who knew Et'Ada had weird fetishes like that?

This what he said during the AMA.

I'd guess it was an off-hand joke, not to be taken to heart. Would you take "word of god" on a subject he doesn't seem to care a lot about versus a well-written text that has influenced lore since Morrowind?

Seriously OP, stick to Words of Clan Mother Ahnissi, and keep in mind that Khajiiti gods are very frequently different from their Imperial equivalents in interesting ways.

And in addition it may interest you to read http://www.gamesas.com/topic/1327271-return-false/?p=19959461 by the Temple Zero Society, which supposedly paints a picture of the Khajiiti lunar paradise of Lleswe'r from the mysterious and bizarre Second Pocket Guide.

I guess, but the use of "Earth Bone" really makes one wonder.

Azura is an Et'Ada, therefore she is an Earthbone.

We usually define the Earthbones as "those that died to form the Mundus", which may or may not include the most powerful spirits we know as the Aedra. Azurah in the Khajiiti creation myth is explicitly not one of these; she comes to Mundus past the moons after spirits die to make the Mundus stable.

Azurah is the Khajiiti Azura, a Daedric Prince; like the other Daedra, she did not sacrifice herself for the sake of Creation, and is therefore not an Earthbone by any definition. Even in Clan Mother Ahnissi, she is specifically an enemy of Nirni, the world.

OP, a relatively easy guide to the Khajiiti gods: The first litter is made up almost entirely of Aedra (Magrus is the only exception; he's Magnus, the ruler of the Magne-Ge), and the second litter is made up entirely of Daedra. The last litter is basically made up of the pieces of Mundus (with the exception of Azurah): Nirni, the moons, and Lorkhaj.

Who are "we"? I prefer to define the Earthbones as the laws of nature (including human nature). Aedra aren't any differ from Daedra in that case.

You have to draw a line between things like wind or seasons and things like plots, murder, oaths, madness...

Only the Aedra represent laws of nature. But both Aedra and Daedra are forces.

The use of the word "earthbone" as a subset of the Et'Ada that contribute to Nirn's form is more backed up by sources:

From the Altmeri monomyth:

From the Nu-Mantia Intercepts:

The Third Pocket Guide, using "earthbone" as an alternative to Daedra:

And so on.