For as long as humans have existed, they have wonder what god is and if he/she really exists. When human kind was still young, we woshipped many gods. There was a god for practically eveything, from trees to lightening and from wheat to anger or love. As humans grew and developed as a cognitive species, so did their belief in gods and their religions.
As we learned more about the world and how to control more of our surroundings, we no longer had a need to pray to a god of wheat (for example) because we understood that if we plant wheat and water it and weed it, we can grow it ourselves. Gods became less and less of a necessity. And soon those many gods became fewer gods and the fewer gods, in time, became one god.
It is the evolution of religion. For over a millenium, much of the world has believed in the one, Christian god (or the Eastern equivelent). Now, in the 21st century we are greatly changing again. There is a great trent towards natural religions, such as paganism, and belief in many gods is returning in a new evolved manner. Although we, as pagans, still make up less than 1% of the North American population, our numbers are doubleling and tripling every year. New ideas about the nature of god are beginning to become commonplace.
While some people still believe in the gods as actual, phsycial (or metaphysical) beings, many people believe in gods as just a manifestation of what we label them. It is in this theory that all gods are one god. No one knows for sure what is really out there. It could be, as many people beieve, just energy. However, many of the people who believe in the energy and not a "real" god, still use gods in ritual and prayer as something tangible for the mind to understand. It makes it seem much more real.
Whether you choose to worship gods or not is your choice. you have to look within yourself and find out what makes the most sense to you. For myself, as a scientist I am forced to have a hard time believing in god. This is why I'm pagan. I believe in energy and do use gods names so that I can understand it better and direct my energy more accurately. Or course, this is only me. But its a suggestion.