None. Only once they serve some purpose.
Like being able to do a quest for a temple, and along the way, you are helped by an avatar of the very Divine whose temple you are helping with. Then you look back and gasped, because the Divine gave you his/her personal artifact as thanks for helping him/her. You then have an in-game religious experience and became a devout worshipper of said Divine.
Right now there seems to be no structure to Divine worshipping, and there are no benefits or consequences. You can just go to every temple, and click on all statues. Polytheism at work.
Clicking on Talos' shrine won't get Thalmor people dragging me through the night.