Big fan of Sheogorath here.

I would worship nerevar.

I'd worship Azura. Not only is she depicted as a half-naked chick (which sold me right there), but dusk is my favorite time of day.

I would probably have been drawn to the Tribunal. Regardless of their nature, the idea of an accessible god seems very seductive.

Sithis. He doesn't ask for much, all I have to do is respect my brothers/sisters. And I get to assassinate. Woop!