First and foremost, Baldur's Gate is a game about gods - you are, fundamentally, entwined in the plot of the former God of Murder, after all - but you are not limited to venerating Bhaal, of course.
I would make a poll, but the number and complexity of the various godhoods of Faerûn defy such simplicity - there are human pantheons and elven pantheons, dead gods, gods ascended from mortals, lost gods. Just chime in here on your favorite and why.
If you're not sure or are unfamiliar with the deities of Faerûn, here is a handy list:http://en.wikipedia.org/wiki/List_of_Forgotten_Realms_deities#Faer.C3.BBnian_pantheon
My favorite has to be Amaunator
. The original god of the sun, Amaunator was venerated by Netherese society at his height; with the fall of Netheril, his fortunes also seemed to decline, and by the Time of Troubles his cult is virtually extinct. Nonetheless, you do explore a former temple of his in BG2, and actually encounter his avatar and the last vestiges of his followers in another quest. Exploring the history of this last group of followers was one of the most interesting moments of 2 for me.