Pekko and Bacchus/Dionysus seem to be sort of the same guy.
Fav gods for me are probably Freyja, Loki, Odin and Heimdall. Freyja, as a goddess, mostly had one defining characteristic: She was a hawt chick.
Loki is the trickster God, and also gets some sympathy points. After that unfortunate business where he killed Baldr and trapped him in Hel forever, he was bound to a rock where a snake would drip poison into his eyes for all eternity. Not so nice. Odin, because he's the highest of the Aesir, and knows everything, and finally Heimdall because were it not for Heimdall, Asgard would have been invaded by the jotun pretty quickly.