In Zeus, you'll encounter 12 different gods, all of whom can have quite an effect on how your city functions. Building a sanctuary to a particular deity will bring that god to the city, but beware if you cross them.
Here they all are:
The god of wine, Dionysus's Sanctuary comes with 4 grapevines which can be harvested by your growers and turned into wine at your wineries. When he's wandering around your city, he might feel the need to bless a winery - if he does so, then that building will produce 4 times the normal amount of wine. Praying to Dionysus might even result in him providing you with some wine from his own personal stores.
If you anger him, then watch out - he'll invade your city with a bunch of drunkards and spirit a certain number of your citizens off to eternal drunkenness, and might slap a curse on your wine industry for good measure. He's the weakest god of all, though, so the presence of any other deity will probably send him running, tail between his legs.
Hermes is the god of trade, and the presence of his Sanctuary will speed up all of your walkers (including trade ships and caravans). If a sacrifice can be found, then you can pray to him in the hope that he'll fulfil an outstanding request.
When angered, Hermes will steal some of your hard-won cash, and possible even disturb your land trade routes.
The goddess of love brings joy and harmony to your city - her sanctuary will increase city appeal, and will prevent emigration. She will bless your houses, increasing the number of people living in them, and will also persuade Area, Hephaestus, Hermes or Dionysus to leave your city without damaging it. Praying to Aphrodite could result in her increasing your overall population.
An angry Aphrodite will spirit a load of your walkers away, together with a portion of your overall population.
Hephaestus's Sanctuary comes with 4 ore deposits, which can be mined for the benefit of your city. It also prevents any and all fires (but remember that maintenance officers also prevent your buildings from falling down!). Hep will sanctify armories and foundries, ensuring they produce 4 times the normal amount of goods. Praying to the blacksmith of the gods might result in him sending his bronze friend, Talos, to protect your city from invaders.
When angered, Hep will set some of your buildings on fire, and might curse your sculpture studios and armories.