LF private messaged me with a question about religion, so I thought I'd answer here in case others are interested. Theology in the Elder Scrolls setting is immensely nuanced, and is deeply woven into the creation myths of the various cultures and such. This should serve as a pretty good primer, though.
I'm going to focus on the Aedra and Daedra, which are two pantheons worshiped in parallel in most of the world - though the daedra are mostly worshiped in secret. The term "Aedra" is an Elven word meaning "Our Ancestors." "Daedra" means "Not Our Ancestors." This is the full significance of the two terms, though a broader layman's understanding would classify Aedra as angels and Daedra as demons.
Eight of the Nine Divines are Aedra, with the 9th being Talos. The Aedra as a whole represent stability and order.
The Nine Divines
Talos (disputed) - Conqueror of the continent of Tamriel and first Emperor of the Septim Dynasty, who is believed to have been lifted to godhood for his deeds. As a man, he was known as Tiber Septim. His unification of Tamriel marks the start of the Third Era. He represents the ascension of mankind as spiritual peers to the elves.
Akatosh - The Dragon God of Time, and primary god of the Divines. Akatosh represents different things to different cultures, but in the Empire he is looked to as a representation of endurance, invincibility, and legitimacy. These qualities (and quite a bit of history) mark him as the patron of the Empire. Imperial tradition names the dragon god of the Nords, Alduin, as another facet of Akatosh - though Nordic tradition claims that Alduin is his son instead. The elves know him as Auriel.
Dibella - The Queen of Heaven, is a goddess of love and beauty. Of all the divines, worship of Dibella is the most controversial. She is mostly observed within temples that represent the divines as a whole, with few houses of worship dedicated specifically to her.
Zenithar - God of Work and Commerce, is generally viewed as a patron of merchants and middle nobility. His followers teach restraint, peace, and prosperity through honest labor.
Mara - The Mother Goddess, is a second god of love and is much more broadly accepted than Dibella. Where Dibella represents gratification, passion, and joy, Mara represents matrimony and the legitimacy of bloodlines. Her followers teach that all living things are siblings, and Mara is their mother. They pursue the unification of diverse lineages.
Stendarr - God of Mercy, is representative of righteous rule by might. His followers believe that one must have supreme power over one's enemies in order to ensure peace. Following the Oblivion Crisis, an order known as The Vigilant of Stendarr was formed to combat the meddling of daedra and other foul things.
Kynareth - Goddess of Omens, is seen to have domain over the winds, the elements, and the unseen spirits of the air. She is worshiped by any who navigate by the stars, and is believed to be responsible for the power of birth signs. Known as Kyne to the Nords, she is traditionally held to be the god who helped mortals overthrow the rule of dragons in ancient times.
Julianos - God of Wisdom and Logic, is known as the father of language and mathematics. He is often followed by wizards for his emphasis on learning, but the lay arts of literature, law, history, and debate are also within his demesne.
Arkay - God of Death, is a benevolent deity associated with the changing of seasons, funeral rights, the honoring and recording of the fallen, and so on. Arkay is believed, in some traditions, to have once been a mortal like Talos. This is not a widely held belief, however.
While Aedra have the power to create, the Daedra have the power to change. To their followers, they represent the casting off of stale traditions in service to a better future. To their opponents, they represent chaos, revolt, and scandal. Ethically, daedra run the gamut from reprehensible to kind, though they are always enigmatic and difficult to qualify. There are 17 known Daedric Princes, each with a fairly narrow sphere of influence. Daedra are not worshiped openly in most parts of the Empire, but their cults are not uncommon. Daedra are genderless, but some maintain a gendered aspect. Unlike the Aedra, Daedra frequently meddle in the affairs of mortals.
Azura - Prince of Dusk and Dawn, Mother of the Rose, Queen of the Night Sky. She is worshiped as a benevolent goddess of prophecy and insight.
Boethiah - God of Deceit, Conspiracy, and Treason. He is worshiped by disowned nobility, revolutionary warlords, and others of that sort. He loves competition and battle. In some cultures, he is worshiped by goodly folk for his role in the overthrow of terrible tyrants and villains.
Clavicus Vile - God of Pacts, is known for ensnaring mortals through twisted promises of power and the granting of wishes.
Hermaeus Mora - God of Knowledge and Memory, Keeper of Forgotten Secrets. Hermaeus is sought by those who work fell magicks for dark ends.
Hircine - Prince of Hunters, is responsible for the therianthropic diseases which transform men into beasts. He is the guardian of werecreatures, and god of nature.
Jyggalag - A little-known Prince of Order, odd for a Daedra. He is sometimes invoked by rulers who fear losing their station, and has been known to heal the mentally deranged.
Malacath - Patron of the Spurned, is the god of the Orcs. Fittingly, he is not recognized as a Daedric Prince by his peers.
Mehrunes Dagon - Prince of Destruction, Change, Revolution, and Ambition. He is associated with natural disasters and is known to the Dunmer as one of the Four Corners of the House of Troubles. Dagon was responsible for the Oblivion Crisis and the destruction of the Septim Dynasty.
Mephala - The Webspinner. Mephala's demesne is obscured to mortals. Considered the sibling of Hermaeus Mora, most scholars believe that she represents carefully laid and secretive plots. All that is truly known is that she frequently interferes in mortal affairs, seemingly for her own amusement.
Meridia - Lady of Infinite Energies, is a little known prince whose sphere is Light and Life. She is known to despise undead of all types, and much of her actions in the mortal realm are dedicated to eradicating such monsters.
Molag Bal - Daedric Prince of Tyranny, King of Rape, Slavemaster, is one of the unquestionably evil Daedra. He spreads dischord and strife, and is credited with creating the first vampires.
Namira - Lady of Decay, is the patron of beggars and deliverer of wasting plagues. She is associated with all things which inspire an instinctive sense of revulsion - spiders, slugs, rot, and so on.
Nocturnal - The Night Mistress, has as her sphere Night and Darkness. Despite her forboding name, she is not seen as wholly evil - representing secret lovers and night watchmen as often as thieves and assassins.
Peryite - Lord of Pestilence, is credited with contagious disease, puss, and vomit. He is the patron of healers, who recognize that purges are a necessary part of recovery.
Sanguine - Prince of Revelry, represents desperate indulgence; be that lusty hedonism or crimes of passion.
Sheogorath - Prince of Madness, is known to interfere in the lives of men quite often. All insanity springs from Sheogorath, and his followers view such infirmity as a gift, offering insight and secret knowledge.
Vaermina - Prince of Dreams, is the issuer of ill omens and some consider her the goddess of torture. Her followers believe that she drives men to their destinies, good or bad, by amplifying their fears and manifesting in their nightmares.