When it comes to World Building, especially for Fantasy Worlds, it is a good idea to have a pantheon of gods. A pantheon of gods informs so much about the world that I'd even argue it is not the worst place to start. Gods are key in the creation mythos for the world - how the people believe their world started. Gods are representative of the cultures they reign over. Gods are the explanation the people have for natural phenomenon and answer key questions from "why do we die?" to "what happens after we die?" along with less philosophically deep things such as why do all the plants die and the world gets covered in snow for a chunk of the year?
And in Fantasy universes where the gods are often not only real but interacting with the world, they are the ones who will be moving and shaking the foundations of the setting to make things happen. They will battle each other. Ally with each other. Choose heroes and move them across the board. For games like D&D and Pathfinder they will even teach powerful magics and be the power behind the spells and abilities of certain classes.
But how do you make a pantheon?
A God Is An Answer To A Question, So What Is The Question?
The first approach I found for making gods is to start with the question. For example, the question "why do the seasons change?" was answered by the Greeks. They said that Hades, the god of the underworld, took Persephone - daughter of Demeter, Goddess of Harvest and Agriculture - down to his kingdom and held her there. Unable to finder her daughter put Demeter into despair, and with the goddess of harvest and farming in despair shockingly enough all the plants died and the land went barren.
Later, Persephone returned to her mother, and everything flourished with how happy Demeter is. Unfortunately, Persephone was bound to return to Hades for a period of every year. And so every year Demeter grew sad and lonely for the loss of her daughter, only to be overjoyed and jubilant when her daughter returned. The plants and crops of the world thrived and waned with Demeter's mood.
Now did Persephone exist before this myth about her was needed? Who knows. But the Greeks had a god of the underworld and a god of harvest and farming. There was a time of the year when everything flourished with new life. There was a time of the year when everything died and went fallow. So clearly these two gods were involved, and the story they came up with brought about another part of the pantheon of gods.
The problem I've found with this - for me - is that making up all those gods can be hard because you have to have all the questions first. And then weaving them together can be odd. Which is why I looked further, and found another method I really like.
Mash and Blend
The trick to this style is to take two cultures that more or less fit aspects of your world. Or more if you need to. For instance, for a western fantasy game you could take the Celtic gods and the Norse gods and combine them. Slam together two gods at random, through other means of your choice. Try to find interesting juxtapositions of roles or mesh along symmetry lines. Make a name that combines parts of both names. Lugh the Lighthand and Odin All Father could become Ludin for example, or Odugh.
I like doing interesting juxtapositions whenever possible because in the contrast of roles you get some things that really work well together. For example, in one practice of this I got a god of Life, Death, Beauty, and Poetry. So the god who presides over Life and Death is also the god of Poetry and Beauty, which tells a lot about the culture and the views.
Another favorite was a combination of Loki and the Morrigan that brought about a god of Tricksters and Thieves paired with a Goddess of Battle and Death known for being the one who chooses who falls on a battlefield. Which makes for a great god of Thieves and Assassins if I've ever heard of one.
Feel free while mashing and blending to remove certain aspects. Especially when you are making interesting juxtapositions for the gods. Some gods do a lot. Others not as much. That's ok. But not every god needs to be looking over 6 things. Also, some overlap (i.e. multiple gods of battle, death, life, etc) are fine. There are lots of ways those big things happen, so undoubtedly some realms have more coverage than others.
Give the Names Another Pass
Once you have all your gods mashed together to your liking, and you have a core pantheon, go over the names again. Names from different cultures aren't meant to be slammed together, and so you likely have some really strange names. Keep the core sound, but soften the edges. Think how people might shorten or lengthen the name to make it easier to say or understand. Consider any naming rules you want for your setting like if ending sound determines masculine/feminine/somewhere in between for the culture like it can in Latin.
Give Some Titles and Epithets
You want to give your gods some titles and epithets. 2-3 per god should work. An epithet is a descriptive tag that fits the god. For example one of Athena's epithets is Owl Eyed. All Father is one of the titles for Odin. These titles and epithets also give you different views of the various gods and goddesses you've just made, it gives a chance to associate them with animals and other symbols too.
You have your gods. You have what they're gods of. You have their titles and epithets. The last thing to do is make some symbols for them. I like doing this in two passes. First I do 2-4 "simple symbols" for the gods. These are quick things frequently associated with the god such as a book for a god of knowledge, or a shield and sword for a god of battle. Then I combine the 2-4 simple symbols to make a "complex" symbol. This is the fancier more full symbol that somewhat serves as the gods coat of arms or the like.
Individual symbols can be shared. Multiple gods can have books or tomes. How the book is depicted will tell the difference in world, but you don't need to spend hours detail the exact iconography. Just know that these 3-4 gods have books as part of their symbols, and so telling them apart will require some kind of knowledge about religion on the PCs part.
An Aside On Domains
I know with some D&D and Pathfinder worlds there is a tendency to make gods for the domains spells come from, or clerics can be a part of. This can work, kind of, but it is generally better to derive domains from what the god does rather than the other way around. While a "God Of Knowledge" is possible, a "God of Scholars and Teachers" is more likely, as is a "God of Secrets and Forgotten Things."
Going this more descriptive way not only gives more character to the gods themselves, but it allows for meaningful overlap of domains that gives people choices for how they want to engage with that world.
How Gods Reflect Society
As a last exercise, look at your gods and the domains they reign over. How many hearth gods do you have? How many war gods? How many gods of arming? How many gods of art?
The things your society has a god for are the things that society finds important. Or, the other way, gods will make what they find important (i.e. what they reign over) important to the societies that follow them. And the more gods you have in an area, the more prominent that aspect will be.
A culture with a lot of war gods likely lives in violent times, or has a violent past. A culture with a lot of trickster gods likely has a lot of emphasis placed on cunning, deception, and being vigilant. A culture with a lot of hearth and harvest gods likely finds those aspects of their world important.
Gods that don't serve a purpose tend to vanish over time. Maybe they're remembered, but they don't have as many priests, temples, or stories told about them. So the ones that are told about - the ones important enough to warrant being noted down in your world building plans - are the ones that matter.
Leave Room to Grow
Zeus alone proves you need room for your pantheon to grow. The core 6 gods in Greek Mythology are less than half the total gods just from Zeus's children. Build your core. Figure out how those work. And leave room for other gods to come about and happen. Gods can wander from other lands. Gods can rise up from champions and heroes. Gods can be born from other gods.
These gods will likely never be as powerful or prominent as your core gods, but having that room to grow gives room for players to add to the world, or for the world to develop new intricacies and problems. You can weave them back into the fabric of the other gods when you have time. Just enjoy the saved headaches when you leave that room for the pantheon to grow and change.