I think Tarn&Zack have a lot regarding deities in the back-burner (well, that could be said about everything in DF I guess!). We will most likely see some of that once they get to work more on priests/churches/sanctuaries and the like.
I definitely agree there's lots of room for very interesting interactions in that regard.
Gods using procedurally generated avatars of all kinds would be a great feature, although I'm not sure they are willing to go that far. As long as actually [urlhttp://tvtropes.org/pmwiki/pmwiki.php/Main/DidYouJustPunchOutCthulhu]killing a god[/url] is an incredibly rare, if at all possible, circumstance, that's be great with me.
But even then, much of what deities do at this point is granting necromancer power and turning bad people into night creatures, which is kind of limiting.
You can certainly draw a lot of inspirationf from real world myths and pagan religions of times past. Things like gods directly influencing the things of the living, or even using them like chess pieces on a check board.
Zeus and other deities liked having some fun with nice human girls, spawning many demi-gods which would often act as very important heroes.
Or, following the classic D&D approach, a few deities might interact with the world via their affiliates. Be it mythical creatures or worshipers of faiths.
What about relics? Objects of great power (kind of similar to artifacts) which are special because of their link to godly beings. This would need to be postponed to whenever the magic arc happens though.
Lots and lots of possibilities.