Each setting seems to have a half-dozen or dieties that I really like, but there are some common themes.
Dieties of space, the stars, etc. appeal to me, whether it is Ptah 'Opener of the Ways,' or Celestian from Greyhawk or Desna from Golarion.
Female dieties with a strong (or even harsh!) demeanor, such as Wee Jas or Xan Yae from Greyhawk, or Auril or Talona from the Realms also draw my attention. Along the lines of Xan Yae, other dieties that are connected to mental and physical self-development (from monks to psions), such as Greyhawk's Zuoken or Golarion's Irori, are also cool.
Fate/destriny gods like Istus (Greyhawk), the only diety I know of that has both Chaos and Law as Domain choices or Pharasma (Golarion) are cool, or, in a related vein, luck gods like Tymora (Realms), Tyche (Greek) or Enkili (Scarred Lands) also are cool.
Gods tied to darkness / the night also are a favorite theme, including (qu'elle surprise), the Egyptian Set / Sutekh, as well as Ratri (Hindu) or Drendari (Scarred Lands). Similarly, illusion-specific gods, such as Lleira (Realms) or Sivhana (Golarion) are top choices. (Indeed, I went back to Greyhawk after the Time of Troubles became canon, and I realized that there would no longer be edition support / conversion material for the Lleiran characters that our campaign was based around, from a throwaway line in the original Waterdeep boxed set, about the Lleiran ties to the masked Lords of Waterdeep.)
Otherwise, some dieties have interesting themes, such as Tritherion, with his obsession with freedom and three animal companions (some hawk I don't remember, 'Nemoud the Hound' and 'Carrolk the Sea Lizard'), or the Heironeous pseudo-Achilles with his six-armed 'evil twin' Hextor (paralled in the Aureon / Shadow split in Eberron), or the fun of Baervan Wildwanderer with his 'little friend' Chiktikka Fastpaws.
Dualistic dieties (like the Heironeous / Hextor or Aureon / Shadow thing, but in a single character) like Nethys (Golarion) or even tripartate dieties like Angharradh (the Realms) are also cool. I like the idea of one diety possibly having wildly disparate congregations.
Some of Roger Moore's contributions, like Arvoreen the Defender or Aerdrie Faenya or Solonor Thelandira are nostalgia favorites. A Halfling Paladin-god? A winged elven goddess of birds and weather? Just cool stuff.
One last 'hook' is a diety who has a mystery about them. Nemorga, in the Scarred Lands, is a diety of uncertain provenance in a setting where every diety's lineage is generally known and acknowledged. Jergal, in the Realms, goes one step further into coolness, being a *pre-human* diety, who has hung on to relevance even after the death of the race that first worshipped him! (And there's even a hint that Aerdrie Faenya is a pre-elven diety, from the time when aarakocra, bullywugs and lizardfolk ruled the Realms, and with the decline in her original worshippers, she is now predominantly considered an elven diety!) That kind of stuff is just awesome. If anything in a setting deserves to have some mystique and unanswered questions, is the dieties of that setting!
There's even a few that sprang out of Dragon magazine (well, other than all of the Roger Moore demihuman and humanoid pantheons!), such as Kirith Sotheril, an elven goddess of magic. They come from all over.