Read 'The Monomyth'. It's a book found in TES which itself compares and contrasts the differing religious views on Nirn. Fascinating read. I'll present a fragment here, and then you can go off and read the rest yourselves:
"Note that Tamriel and the Mortal Plane do not exist yet. The Gray Maybe is
still the playground of the Original Spirits. Some are more bound to Anu's
light, others to the unknowable void. Their constant flux and interplay
increase their number, and their personalities take long to congeal. When
Akatosh forms, Time begins, and it becomes easier for some spirits to realize
themselves as beings with a past and a future. The strongest of the
recognizable spirits crystallize: Mephala, Arkay, Y'ffre, Magnus, Rupgta,
etc., etc. Others remain as concepts, ideas, or emotions. One of the
strongest of these, a barely formed urge that the others call Lorkhan,
details a plan to create Mundus, the Mortal Plane.
Humans, with the exception of the Redguards, see this act as a divine mercy,
an enlightenment whereby lesser creatures can reach immortality. Aldmer, with
the exception of the Dark Elves, see this act as a cruel deception, a trick
that sundered their connection to the spirit plane."
So, yeah. I've had a few Dunmer join the Tribunal Temple, but as for religious preference I tend to go with a neutral battlemage with a scholarly interest in cultural creation myths.
