In a milieu like this, you can expect gods and their ilk to be hands-on kind of entities who really get involved in the community. Priests are therefore quite important, inasmuch as they provide a diplomatic buffer between fantastically powerful, yet notoriously childish and irritable deities and a relatively defenceless population.
"Modern" Druidism has a look and feel very like that of the Russian Orthodox or Coptic Christian churches — lots of tall hats, embroidered robes, mosaics, long chants, incense and what-not.
The rural priesthood (i.e. "old" Druidism) is shamanistic and hermetic in nature. The hierarchy is not particularly apparent to non-druids. Most druids are in sole-charge positions, and they're also often quite grumpy for some reason.
The Celtic pantheon dominates the north, though the practice of its priesthood varies from a savage fundamentalist Druidism among the forest tribes to a relatively benign bureaucratic ecclesiasticism in the towns and cities. The great stone circles and sacred oak groves of the Old Ways are reflected in the towns by open, un-roofed circular temples of elegantly-carved columns of wood or marble, while their burnings and human blood-sacrifices have been transformed into largely symbolic rituals. From time to time there comes a wave of fundamentalism that temporarily returns the urban church to its scarier and bloodier roots, but they seldom last long after the initial enthusiasm has passed, if only because the Old Ways are so uncomfortable and messy.
The centre of Druidic power and authority is the peninsular of the Druids Tongue and the holy island of Mea.
A relatively recent development, and one which rouses concern even among the relatively complacent modern druids, is the spread of the Empire's High Faith, especially among the urban poor. There have been a few incidents of religious persecution, not yet approaching the level of pogrom, but worse is in the air. It also disturbs many of the secular authorities, who are understandably reluctant to have large portions of their populations developing an allegiance to some far-off God-Emperor when they should be happily and uncritically loyal only to their own lords. Not to mention the possibility that this God-Emperor may sieze on the opportunity to add northern lands to his realm, under the guise of aiding his religious subjects. It's a worry.
Use the Native American mythos for these tribes.
The nomads of the north-east practice animism and ancestor-worship. Their chiefs are usually the head priest of the tribe, but each tribal group will also have a shaman whose job it is to interpret omens and to communicate with the spirits when necessary. The tribes have a few gods in common — Sky, Fire, Earth and so on — but for the most part their gods and rituals are specific to their own clans.
Use the Norse pantheon for this region.
The peoples of the area immediately to the south of the World Wall endure a particularly lusty and low-brow group of deities. They have no priesthood as such, though there are men and women known as godi who make it their business to know when and who to appease when things look bleak, to blame when things go wrong, and to supplicate when you want something. Such rituals as are required to keep the gods from taking undue notice of the world are the responsibility of the head of the household, who will take advice from a godi as and where necessary (as long as it's not too expensive). The gods are generally fairly unsympathetic to the plight of human beings; they see them as entertainment, or cattle, or thralls, or at best, ignore them completely. They hate a coward and won't tolerate whining... though grovelling is OK, in a pathetic sort of way. They're unpredictable in their reactions; on the one hand they expect a man to stand up for himself, but on the other they're likely to take umbrage at what they see as impertinence. On the whole, it's probably best to have as little to do with them as possible.
It's a bleak sort of religion, but on the other hand it does encourage self-reliance.
The religion of the Empire is based on that used in the Turakian Age campaign setting, by Steve Long of Hero Games, with additions from various other sources.
The official religion of the Empire is that of the pantheon of gods shown here. In addition to these major gods, there are innumerable lesser deities associated with particular places or peoples, as well as various elemental and infernal entities that may sometimes be placated, or may respond to appropriate entreaties. The Emperor is also worshipped as a god, and acts as the ultimate religious authority within the Empire; the theocracy is remarkably intolerant of any cult that might threaten its power in any way.
The semi-nomadic tribes of the deserts of the Cursed Land are a bewildering mixture of monotheists, dualists, mystery cultists, pantheists, henotheists, and just plain loony.
The Elves, though recognising the existence of powerful supernatural entities, do not worship them. They are not atheistic, but non-religious. Such rituals as they do use are generally for the purposes of social bonding, for commemoration and the like.
Elves, being immortal, have no afterlife. If an elf dies, its life-force dissipates and is absorbed by the Earth-Life from whence it originally came. A newly-dead elf can be sort-of resurrected, but once the attachment between the body and life-force is broken it can never be truly mended, and in all such cases the subject will gradually just lose interest in anything and fade away, leaving an empty husk which will eventually succumb to starvation and general self-neglect.
The Dwarves give respect to only one god, their creator Tharkûn. But they also venerate and pray to their ancestors.
Orcs, goblins and the like are shamanistic. Their gods and rituals are as various as their tribes; there is little in common between them except for cruelty and savagery.
Many non-humanoids also have their own gods, and some of them can be found here.