In many fictional works where Christianity, Judaism, Buddhism, and the other assortments of religion don't exist there are usually made up religions. Or, the opposite happens and there is no mention of religions whatsoever. That does not mean religion doesn't exist in that world, but it just isn't mentioned. Often times there are different religions that clash such as the Faith of the Seven and the believers in R'hllor in Game of Thrones. The difference between this and Mythopoeia is that while a myth is generally a belief in a god that is rarely worshipped anymore(ex: Zeus), a religion is the worshiping of a god that many people believe in(ex: Buddha). An example that is mythology would be people a story taking place during the time when Greece was a great empire.If there is proof that the gods exist, then that would be a religion. However if there is a story that takes place in modern times in which the Greeks belief in many gods is generally not believed, and there is no proof of it, then the Hellenistic religion of the Greeks would be mythology.
No Real Life Examples, Please!, for obvious reasons.
The Lords of the Higher Worlds in Michael Moorcock's Elric of Melniboné and The Chronicles Of Corum stories. They include the Lords of Chaos (such as Arioch and Xiombarg), The Lords of Law (e.g. Donblas the Justice Maker and Arkyn), the Dead Gods, the Beast-Lords, and Elemental deities such as Grome, Straasha, and Kakatal.
J. R. R. Tolkien's The Silmarillion had Eru Iluvatar and the Valar. The Valar included males (Manwe, Ulmo, Aule, Orome, Mandos, Lorien, Tulkas, Melkor/Morgoth) and females (Varda, Yavanna, Nienna, Este, Vaire, Vana and Nessa).
Robert E. Howard's Conan stories. Some of the deities in the stories were from Real Life, such as Set, Mannannan (Mac Lir), Erlik, Ymir and several Hindu deities. However, some of them were fictional, such as Mitra, Crom, Hothath, Valka, Pteor, the spider god of Yezud, Bel the god of thieves, Jullah and the Golden Peacock. There's a list of them here.
H.P. Lovecraft's Cthulhu Mythos had a number of deities, such as Azathoth, Yog-Sothoth, Shub-Niggurath, Nyarlathotep, Ghatanothoa, Yig, Cthulhu and Hastur.
Dungeons & Dragons flip-flops: there's settings with gods they made up de novo, but there's also sourcebooks (e.g. Deities and Demigods) that import entire real-world pantheons to the setting. (I can't remember whether they stayed away from polytheistic religions that still have adherents in the modern day. Monotheism, of course, is Right Out.) Some of the gods of specific settings:
Atlantis: The Lost World generic RPG setting. A number of nations in the setting worshiped the Old Gods: Abbar (rain, harvest), Ash (time, luck and secrets), Atta (strength, ferocity), Eloah (the heavens and the day), Hawwa (the moon and the night), Mana (wisdom), Og (strength, fertility), Sarra (women and feminine virtues), Saha (the wind, freedom), Tama (forests), Tara (men and masculine virtues), Vana (peace and goodness), Xax (death and decay), Za (the underworld). . .
In the Magic: The Gathering plane of Zendikar, the Merfolk worship the pantheon of Emeria, Cosi, and Ula, with the Kor worshiping similar gods by a different name. It turns out that these "gods" are really the Ancient Eldrazi Progenitors, Emrakul, Kozilek, and Ulamog.
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