If the gods are real, if spirits really do flow around, if the divine does have impact on ordinary life, then your relationship with these beings determines how well you prosper in this world. Thus, leaving those relationships to chance is a very bad idea.
Most societies form some sort of formal relationship with the divine because heading off trouble beats living through trouble. The idea behind forming these known and regular relationships is to keep the physical world predictable. Nobody wants surprises.
When man crosses the divine, a being gets angry and aims its anger at humanity, be it thunder and lighting, earthquakes, disease, flood, fire, lack of game, drought, or some other situational challenge. These disasters, large and small, tell the community that it's relationship to a powerful being has turned sour. When things go bad, it's the job of the religious professionals to set things right.
The most familiar sort of relationship is the patron. The people give gifts to the god in the form of sacrifice, praise, buildings, and whatever else would appease the ego of a powerful person. In exchange, the patron protects his people, sees to their best interest, or restrains from harming them because he likes them. Ingratiating yourself to the divine works.
While cities and have a more impersonal relationship to a god, an individual might have a more nuanced, more interpersonal relationship. There is usually more give and take between individuals. The superiors knows the abilities and limits of their servants, so the servants are usually used according to their skills, but sometimes the servants have to take on responsibilities outside their normal expertise. The servant, meanwhile, is dedicated to the best interest of their god, and unlike a slave, has some degree of discretion on how to accomplish his goals.
Sanctuary is where someone enters a holy area with the idea that others trespassing against a god's territory would be worse than letting the problem person stay safely in that holy area. Sanctuary only work where there's sufficient respect between state and god. If the god is not sufficiently respected, then sanctuary as a strategy will naturally fail.
Some people seek deeper association with the gods. Because of when or where they were born, some unknown quality inside themselves, or even happenstance, they go out and expose themselves to the divine, go on a spirit quest, and through doing so, discover their powerful association to the divine. Here the relationship is sympathetic, as both share some primeval feature.
Often enough in stories, there's more than one group of gods. Even though characters may not have a personal relationship with the divine, they know that they play on the same team. When the gods conflict in the heavens above, people do the same below. Good fights evil. Law fights chaos. Each side seeks to win today's battle. Which team that you're on matters, and switching teams is a major plot point.
Not all associations are free. Good gods may punish by inflicting service on the penitent or unrepentant alike. Evil gods may seize servants, be they good or evil, forcing them to do their bidding. Not everyone loves or even likes their gods.
People interact with some gods only as necessary. When somebody dies, only then are the gods of death interacted with. When people go hunting and kill an animal, only then are the great spirits of those animals interacted with. When dangerous gods know vital information, only then are those gods interacted with. Whatever the reason, characters must tread carefully.
Some gods want to establish relationships. These unknown or forgotten gods make themselves known. A prophet may wander out of the wilderness, explaining the sins of the world, or a new god may show up, demanding worship. These demands drive a story because society may be unwilling or unable to accept these changes.
Some gods skip the whole intermediary thing, setting themselves up as a theocracy, the rule of religion. The god rules, his representative rules, or the ruler declares himself a god and rules. Religion and state become one. There is no difference between government and religion.
Not everyone likes formality. Quite purposefully, they seek informality, inspiration, transgression, and unreason. There will also be those who throw off the ever increasing, ever complexifying array of religious rules to find the rawer, less predictable, more essential powers of the world. While formality makes the world more predictable, it also obscures other truths in its tendency towards rigidity. Formality may fail to see the changing world, fail to adapt.
Formality can also forget. In its quest to make the world predictable, old information can be cast aside as irrelevant, such lost information being necessary to solve the next divine crisis. Yet, the religion itself can be so large as to contain all the lost information, stored away in some corner or some temple for the day when it's needed again.
There's familial relationship. Some gods associate with some families. One inherits a relationship. This is especially true with ancestor worship, where you don't get to choose your ancestors, but you need their influence in the heavens to make events work out here on earth. Often, one particular person is chosen to be primary representative of that relationship, changing their lives, and usually sending them off in unwanted directions.
Some gods are forbidden. That's the formal relationship. They are kept at bay. Kept away. Whispered about as bad. Nobody speaks of them. Yet, there are those who break with tradition and seek the power that the forbidden gods hold. It may be an individual, or a secret cult. They transgress the religious barriers to interact with gods who are bad for the community, with the communities nearby almost always bearing the brunt of that cost one way or another.
Many people interact with religion fairly apathetically. They don't care one way or the other. They'll go through the motions or not, as they please. For these people, religion is pro forma, social theater, or obligation. Even in a world of gods, they may not believe, or don't believe enough in anything to care. Like a small fish, they see themselves and overlooked, and therefore free of most religious obligations.
For some, religion becomes a substitute for family. They join a religious order, adapting to its ways, living their lives in a religious routine sequestered from the world. Even brief forays away from civilization, a group of people will form themselves into a temporary group, with individual taking on roles just for that occasion. Monasteries, nunneries, religious communities, and other such institutions operate on a permanent basis, taking on new members, either temporary or permanently. They'll usually have a trial period, so that they'll know if you'll work out, and leaving those communities is usually a major life turn.
A pilgrimage is a very common religious act, where somebody travels somewhere else for a religious reason. Here, the relationship is expressed as travel. The divine is so important that a person takes on hardship and expends wealth to go someplace far away. Like a quest, it requires travel and hardship, or at least some exposure to the different. In many epic fantasies, somebody has to go somewhere to talk to some holy person in some holy place.
A crusade is a war for a religious cause, for a religious objective. Where religions conflict, war occurs. The military becomes the direct expression of the divine, and force of arms acts as the might of gods. In a theocracy, the army is part of the religion. If the king is divine, a demi-god on earth, then the army sees itself was working directly for a god. If the gods fight in heaven, then any earthly force knows that it fights one one divine side or the other.
Because the relationship with gods is based on human relationships, these relationships are as varies and as complex as all human relationships. In most religions, there isn't only one relationship, but a variety of possible relationships available to everyone in the society. They all exist at the same time, usually at a level so familiar that nobody even bothers thinking about the relationships. Putting in these varied relationships helps make a religion feel real far beyond the statement "we believe."
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