Erlik, Hanuman, Ishtar, Mitra, Set.
Athena, Odin, Seker, Thor, Thoth.
Loviatar, Mielikki, Oghma, Silvanus, Tyr.
Look at these lists. This is how you build a pantheon for a pulp fantasy setting: by stealing liberally from real world mythologies, warping them into what you want, and then adding details to make them better suit your setting. As ever, Robert E. Howard was the trailblazer. The deities of the Hyborian Age were often -- though not always -- based on those from historical cultures, much like the cultures of Hyboria themselves. I mentioned previously that I consider Howard's fictional prehistoric world to be one of the most perfect fantasy settings ever created. Part of it is the way that REH takes names that we either already know (or that sound like ones we already know) and then turns them to serve his own purposes. He gains the benefits of familiarity without any of the drawbacks, in the process creating a setting that manages to transcend pastiche. In my opinion, that's exactly what any good referee wants to do in creating pantheons for his campaign setting.
When I was younger, I found this "mix and match" approach to be unsatisfactory. It seemed "unrealistic" to me and I obsessed over trying to come up with what I saw as believable collections of gods. As I've grown older, I've come to embrace the liberating power of incoherence a bit more. I've also realized that, just because I might swipe a name or a concept from real world mythology, that doesn't mean I'm bound by its specifics. Indeed, I should use the real world referents as touchstones for unleashing my own creativity. That's what Howard did and that's what Gygax did. It's a fine pulp fantasy tradition and I think the random goulash of gods stolen from any source not nailed to the floor is one that should be promoted more widely.
Over the next few days, I'll try to post some of my notes as I create my own pantheon to show you how and why I've made the choices I make. It's my hope that I can illustrate better some of what I'm talking about here, in addition to creating something that I (and perhaps others) might find useful in their own campaigns.