Although they don't yet "do" anything besides offer curses and slabs in world-gen, I take a great interest in the deities of a given civilization - at least the dwarf ones. Religious inclinations help me to imagine a roleplay context for their society. I (think that I) look forward to Toady's implementation of religious observances and sects.
My favorite dwarf deity so far was "Nethgon Burydungs the Lustful Skull of Eels," goddess of death and the underworld. She manifested as a female dwarf, and was much venerated in one of my previous forts. Its first artifact was a bituminous coal statue of her, most residents were ardent worshippers of her, and she appeared everywhere in engravings. These dwarfs had a habit of sacrificing a certain percentage of their children by throwing the babies under the water wheel, about once a season. That fort was the first one where I got to the point when the monarch eventually arrived. He proved to be a vampire king who had slain about 8,000 humans and about 7,000 dwarfs in the same city; I then imagined that these residents of the fort Lightroom were so devoted to Nethgon because they prayed that he would stay away from their families.
That and my other stories aside, yes: I treat the deities of each world as real for that world (demon and megabeast imposters are real too, merely not divine). I see a lot of folks reference the god Arm-OK, but for me at least that entity exists only as a titular conceit for the game itself.