Although atheists do tend to have a simpler run of it, being godless will really come around and bite you in the butt if you can't handle everything yourself.
Being a good guy is a pain in the ass because of all the dickish behaviour the AI comes up with, but some of the good gods are actually nice enough to work with. Stay the hell away from Immotian and Erich though, those guys are total buttholes. And Xel is best left alone unless you *really* know what you're doing.
The Multitude used to be pretty much a sure thing, but a recent update gets them angry if you drink healing potions. That really put a dent in their usefulness to you. Still though, if you play it safe until you get some sort of vampiric or regenerative healing power going, they still make for a rather badass "deity". Finding an altar can be a pain though.
But if you do find an altar to the Multitude, I strongly recommend you think about worshiping them. Make sure to weigh your options though, because that 'drinking problem' can cause some major havoc in ways you don't want. But who can say no to long-term demons bound to your will appearing at random intervals? And receiving aid from them is totally killer.
Essiah is relatively nice, confined basically just to the standard rules of goodness. She's got some nice boons for her faithful as well.
Xavias is another "good guy" who is relatively easy to keep happy. He's nice for mages and other egghead characters who need to figure stuff out. Basically the only things that tick him off are evil acts and the destruction of valuable or enchanted items. Which, hopefully, you won't be doing too much of anyways. But just be careful when blasting wands...
Only bad thing about him is that he has boosts that aren't very general in their usage. Only certain types of characters can take advantage of them.
If you're going the selfish warrior route, you can't really beat Zurvash. Only times he gets upset are when you show compassion or restraint, which shouldn't be too difficult considering the idiotic behaviour of most of the dungeon's denizens. Sacrifices are easy to find as well.
Asherath seems relatively easy to deal with, but I've never tried him so I wouldn't know.
Abiding by godly laws adds an interesting dimension for experienced players and can be a little fun in itself. The code of chivalry in particular can be a pain to work around, but you feel like you're really doing something by adhering to it.
Not that gods are strictly necessary, but it's nice to have a big and powerful entity watching your back in certain situations. I had one paladin who lived and died three times thanks to Mara stepping in and bringing him back. And I loved the little demonic fan clubs that pop up when you serve the Multitude.
The character I got the farthest with, however, was my alienist. And he was godless. The only god who will accept an alienist anyways is Kysul, and he's way too restrictive for my tastes. No, I wanted the freedom to do what I wanted to do. And if that meant obliterating the brains of that goddamn neutral grunt who rushed in to pick up the treasure I'd just liberated, then so be it.
Picking a god will inhibit you no matter who you choose. Atheists are undoubtedly those with the most freedom. However, when building a character, you have to decide which freedoms you will get the most use out of, and which ones you won't. Try to think of it as just another step in creating your dude.
This list may prove helpful to you:
http://incursion.wikidot.com/gods