My character will worship the Daedra, and more specifically he will be a follower of Asura. It will be done is secret though because the other High Elves would not be too happy about it.
Actually I always try to play a character who has lost their memories of everything that came before, and I spend the game searching for my spiritual and social connections to the world and society. So basically I have no beliefs and that usually works out well because that way I have no problem killing who ever it is that needs killing at the moment.
Azurah....do not confuse me with worshiping Azura of Cyrodil...this merely due to a racial pride, the pride of being the race that I am. Any other god that I feel tempted to revere; we shall see.
As a Khajiit, Azurah above all others. She gives us moonsugar, skooma, the lunar lattice, and rules moonshadow, the most beautiful realm of oblivion =P