I know SG is supposed to be low fantasy, but an effective feature used in Skyrim (taken from ancient myths) is the intervention of the gods (or demigods, deities, etc) in the affairs of mortals, in the form of the daedric quests. I think the drinking competition quest in Skyrim was probably one of the more fun and innovative quests in an otherwise un-innovative game. I think if SG had a good range of gods (from benevolent to evil, or jealous and spiteful), that could affect our character in some way (once again, not necessarily positively), that could be very good. This would be especially effective if the lore was consistent and interesting, as stated above.
I'm not sure if anything like this is in the works or even being considered. Have a look at the Grand List of Dev Quotes for more info.
If this were to be implemented, the gods should affect the character regardless of whether or not they believe in them (or pray, etc). Choosing a god should have noticeable benefits and drawbacks. For instance, you would gain the favour of the god in question, so they might help you out in a tight spot (hopefully not in a gimmicky way, as NoSoAna pointed out). Your affiliation with this god might also pit certain other gods against you (god rivalry, you know how it is
), and they might throw a lightning bolt your way every once in a while (or a better thought out consequence).