The shared mythology of D&D talks of the Dawn War, a war between the primordials and the gods. The gods fought to stop the primordials from destroying the world and were able to gain a narrow victory. The primordials were imprisoned, but the threat they present remains.
Few folk of the Nentir Vale and other regions devote themselves to any single god. Clerics or paladins might dedicate themselves exclusively to one single deity, but everyone else worships a selection of many deities. No single god encompasses all aspects of the average person's life, and so average people devote their prayers to whichever god seems most appropriate given the circumstances. Likewise, the World's religions are made up of autonomous sects, without monolithic governing entities. There are no "churches," in the sense of worldwide theological authorities that oversee all practitioners of a given faith.