It depends who you ask, but Julian the Apostate, Emperor of Rome and author of "Against the Galileans", is of the belief that each pantheon of gods looks after a particular area of the world, so the Greek gods look after the greek area, including the edges of asia minor, the Egyptian gods look after the land of Egypt, and the Roman gods look after the Roman lands. Where two areas overlap, for example, the Romans expanding to cover the lands of the Greeks and Egyptians, the two pantheons 'share' governance of the region. Therefore, the Christian god only has dominance in Judea.
So, they're all right, at least in theory. Hang on. Oh, dear! Here come the catholics. Their god goes against the system that worked for so long. Their god claims governance over us all. Whether you believe in the christian god or not, you cannot claim that his influence covers the entire world, this Catholicism is wrong. By that I mean, Their doctrines are wrong, their god rules over the land of Judea.
Therefore, it would be logical to choose the religion of your ancestors, or, if you cannot trace your ancestry back that far, go with what feels right. Listen attentively for the gods trying to reach out to you, especially in dreams. sometimes it won't be the god you expect!
Sorry for being long-winded, it is a very tough and complicated subject!