I have a few minor suggestions with regard to religion. In the interests of hopefully having some of my suggestions actually be used, I have tried to limit my suggestions things that seem like they would be relatively* simple** to implement:
1.) Syncretism: When two different cultures/civilizations (including different civilizations of the same race) are in contact with each other for a prolonged time during world gen, they should occasionally adopt gods from the other civilization into their own pantheon. In practice this would only need to have only minor effects in-game (at least to start with), in-game it might only result in a couple of minor notes in legends mode, and some sites occasionally containing temples to a foreign god or force or power (and additionally, the presence of such a temple during history-generation might result in a city being spared that would otherwise be destroyed, if (and only if) it happens to posess a temple to the specific deity worshipped by the opposing civilization's leader (and possibly only if that leader is reasonably devout)
1b.) Syncretism Continued: Alternately, one civilization could decide that a deity from a neighboring civilization is just a different name for a deity of their own pantheon who has a similar name
2.) Succession for Powers: In a civilization that worships a monster with the POWER token, if said leader gets killed, they should have a chance of adopting a new power as their leader (especially if a lot of civ members already worship additional powers anyway as a result of MEGABEAST attacks, and ESPECIALLY especially if their previous POWER leader worshipped another POWER) and/or of adopting a neighboring civilization's pantheon (or a semi-random assortment of gods and powers from several neighboring pantheons)
3.) Familial Background Info for Deities: In most real world mythologies many of the deities are parents or children or siblings or spouses or whatever of one or more other deities, so I think that it would be cool if when pantheons were generated in world-gen, if it generated familial relationships for some of them, just to add some flavor to the game's religions.
3b.) Divine Generations: On a related note to point three (above), it would be cool if an additional generation of gods were added to each race's pantheon every time the world entered a new age (with the possible exception of entering into the age of civilization)
4.) Multiple Concurrent Faith Types/"Great Cthulhu is their cousin but he spies them only dimly...": I think it would be cool if a civilization could worship more than one type of divine entity at the same time; For example, a civilization could have a POWER as its leader but also worship a pantheon of gods. (much like H.P.Lovecraft's lost continent of R'Lyeh, which was ruled by semi-divine Great-old-one Cthulhu, who in turn worshipped the outer-god Azathoth)
5.) Info on Temples, A Possibly Early Implementation For Speaking With Deities: Right now, when you try to talk to a deity, they don't give ever you a response. I think that it would be cool if, when asked about one of their own temples, they had a chance of responding with the same kind of response that anyone else would give when asked about the temple (possibly also with additional information about other nearby temples).
6.) Deification: Individuals who become particularly influential during world-gen should occasionally end up being worshipped as gods by members of their entity/civilization after their death
7.) Moddable Sphere Preclusions/Associations: Currently, assigning spheres to an entity will have all associated spheres open up to the entity, and bar opposing spheres to that entity's religions. To help modders customize their cultures, additional token options that allow for absolute inclusion or exclusion of spheres in an entity's religion, regardless of associations, can be made available to modders.
7b.) Required Sphere Combination: Additionally, perhaps an entity could be set to require that each of its civilizations to have at least one deity with a specific set combination of spheres defined in their raws.
8.) Procedurally Generated ituals: a deity's description could imclude a very brief description of one or two of the major rituals associated with it. These rituals could be procedurally generated based on the deity's portfolio, its compatability with the rest of the pantheon, and its civilization's ETHICs
*Compared to some of the things that Toady already has planned for the short-term
**Although admittedly I'm not really qualified to tell for sure what would be simple to implement or not, as I only have high-school level programming training and I haven't seen Toady's existing source-code anyway...
Edit: Added underline to heading for fifth idea.
Edit: Added idea #1b and idea #6
Edit: Added Idea #7
Edit: Re-worded Idea #7 with nw_kohaku's revised/clarified wording/explanation
Edit: Added idea number eight