Building Your Own Religion
One of the most important parts of creating your own setting is religion, and the role it plays. Consider that in the real world, religion is a facet of life for the vest majority of people throughout history, and even those who are not religious/spiritual are still affected by its presence. For this reason you need to remember that religion will be crucial part of your setting in whatever form it takes. I have never played in a game where there was no religion whatsoever, so I can’t really speak to what that would look like (though it’s a neat idea as long as the implications are fully fleshed out). When creating such an important part of your homebrew world, there are two things to consider; what the religion is based around, and how it affects the lives of those in the world.
I learned to play D&D using Forgotten Realms. Because of this, I am most familiar with a setting that features many gods. This is a setting that has a god of the morning, a goddess of magic, and a god of war. This has got to be one of the most common set ups in fantasy; picking gods that represent certain key features of reality. When making your own homebrew setting, I’d recommend stepping away from this. Consider having one major god, and several lesser gods. Or maybe the “gods” are actually just celestial “forms” made of thought and energy represented by objects in the world. In my own setting, each god is represented by a race, and clerics can only get power from their race’s god. When a race is wiped out, so dies the god.
The importance of creating a new type of god/pantheon is twofold. First, it will distinguish your setting, which is the whole point of having your own setting at all. Second, it allows you to set up other aspects of the world that align with this. Maybe the different races are unable to reproduce with each other because the different gods represent a natural divide between species. You might explain some major world event on the gods; the reason that the world is in perpetual twilight is because the god of shadow convinced the goddess of morning to marry him. The most interesting settings will have the most unique religions. Like creative new systems of magic you might find in different fantasy books, having totally different ways to represent spirituality will be an exciting thing for players to explore.
The other important thing to address is how the gods/religion impacts the world. Do the gods make themselves known to mortals? To what degree to people know or believe in them? In my setting, the gods have visited the world only once, and it was so long ago, that even the eldest races can hardly claim to remember. In that time, deceptions have been woven, and there is great uncertainty. In your setting you need to outline what a character can expect to experience; will they be visiting churches? Will religions be making world decisions? Are these old institutions crippled and shoved to the edge of society? Or do the avatars of the gods walk the mortal realm, and do people seek them out or flee from them? In Forgotten Realms, no one can claim to not believe in the gods because they are so active, but in your setting, as long as you determine what form this takes, you can have the effects of the pantheon/god be whatever you like. Just don’t think you can include a religion and not address the ways in which is affects the world; that’s just not realistic.