Wow that's a lot of questions. I'm really impressed by how head-on you're taking this.
I don't have answers for all of your questions, and I'll be answering them a little out of order, but I certainly hope this helps.
What in the world is pantheism!?
Pantheism is the belief that God and the universe are the same entity. Whereas religions like Christianity, Heathenism, and Ifa all suggest that God or Gods are personable entities which rule over the universe, Pantheism suggests that God is more an essence than a person and it exists in all things. When a Pantheist says that a rock is sacred he or she does not mean that it is some blessed object like an Mass altar at church - they mean that there is essence of God, no different from the essence of God in you or me, in that there rock.
Related ideas are Pan en theism, the belief that there is one or more personable Gods who interpenetrate all things (sort of like combining Pantheism and the Christian God); and Monism, the belief that we are all one.
Wicca is often practiced as a Panentheistic religion, having distinct deities (the God and Goddess) who exist in all things.
Where are the God and Goddess from anyway!?
Let's start with the God.
The "horned lord," by that name and as a witch-specific deity, started in the 1920's with the remarkably flawed historical works of Margaret Murray. She essentially invented the witch cults as we think of them, mostly from badly understood mythology, twisting historical accounts, and taking the testimony from witch trials at face value.
This is not to be misunderstood as the Horned Lord Himself being a fictional being. He is, first and foremost, the male archetype, and this has existed in many different religions and cultures. It also appears that Murray based much of her horned lord on Baphomet, a pagan deity who emerged some time between the 12th century and the 18th century, with the uncertainty being related to possible mistranslation. He is widely used by many magicians and magical orders, including the Golden Dawn, and he is an important figure in the religion of Thelema.
While the horned lord, as a name and as a specific image, may be relatively new the concept it embodies, the actual deity, is quite old.
The Goddess is, quite similarly, the ancient concept of a feminine archtype expressed in a new way. As a being divided into Maid, Mother, and Crone, she came into being in the 19th century with the works of Robert Graves.
That is where the Wiccan God and Goddess come from, but a much more important question to answer is why does it matter if they are ancient? We look to the past as if being really old somehow makes something better or more legitimate. In reality, all it makes it is old. Think, for just a moment, on the concept of the very old - it is often out-dated, inaccurate, irreverent to modern life, and often missing pieces or detail.... How the heck is this desirable!?
Wicca is a modern religion. It is made by and for modern people, it addresses modern problems, it phrases things in a way sensible to modern minds, it makes use of modern knowledge, and is otherwise way more suited to the 21st century than things which predate the modern calendar.
This is often one of the very hard parts of conversion for those coming from a Christian background. You are used to religion having a set history, a book with divinely accurate laws and stories, and just generally a good sturdy authority. Wicca, and most modern practiced pagan religions, have no such authority. Because the divine lives all around us and in all things we are each able to worship as we see fit - any item, any symbol, any myth is just as sacred as the next, and whether or not you use it depends entirely on whether or not you find it useful.
The Divine has no shape, no set definition, it just is . That's really hard to conceive of though, so we picture it as a woman with three aspects and a man who is both hunter and prey. For whatever reason these symbols and these myths are particularly useful to modern Western folk. Perhaps in a few hundred years, after this belief has had a good long time to grow and change shape, we'll understand why it's so useful.
How do you get to know multiple deities!?
The first and most basic step is to simply read about them. Even without meeting Thor I can get a pretty good feel for who he is and what his personality is like just by reading the old Norse myths. A component of this study which is equally important, but often missed, is study of the people who worshiped that deity. The Quran makes Allah sound like some jerk for constantly hating on paganism, until you actually study what the Middle East was like at that time - there were a huge number of pagan tribes who all hated each other, attacked each other, and held that their tribe was best and was under the protection and guidance of their specific pagan deity/pantheon. Once you've actually studied the history and culture you see that paganism was the root and enabling factor for most of the problems in the area, which makes Allah's talk about how bad it is way more understandable.
Once you've got a good working understanding of a deity how you get to know them more personally depends largely on you and what you like. I, for example, really like devotion. I love to write my gods poems and leave them offerings and hold small rituals where I pretty much just tell them how great I think they are. My boyfriend, on the other hand, seems to just go into this weird meditative state in which he thinks about the deity and "feels" their presence and personality.
How do I deal with a crisis of conversion!?
Contrary to what Scrupulous said, there is indeed something to convert to; specifically you are moving from Christianity and into a more pagan, possibly Wiccan, faith. And no one needs to force in order for it to be difficult or trying. Letting go of the old way of thinking is hard. Even after you've decided that it's wrong or just not for you, it's hard. I know, in my conscious mind, that there is nothing sinful about sex - it's natural, it's normal, and it's pretty cool - but there are still certain topics which make me clam up like some sort of prude. Even though my conscious, rational mind knows that the sex-negative Christian views I was raised with are wrong, it's still my natural knee-jerk reaction, and it's a part of my own conversion that I'm not yet done with.
When you convert you're not just changing the name of the god you worship and what you wear while doing it. You're changing the way you think, the spiritual world-view that you perceive all things from. You're also changing your knee-jerk reactions; your spiritual and moral instincts. Changing your instincts is not the easiest thing to do, but it can certainly be done (your instincts take some major changes in military training, for example). It's also a very worthwhile and necessary thing to do when changing religions - there's no point trying to worship the Goddess when you go through life thinking in Christian terms and morals. At that point Goddess worship would essentially just be window dressings in an otherwise Christian life.
This moral and theological crisis that a converting individual goes through is something often studied by religious scholars since the conversion process is pretty telling about both the new religion and the old. I don't know of any good resources on that, but I'm sure you could find something about the conversion process on-line or at a book store. It might take some explaining that you're interested in the conversion process as a whole, not how to convert to some specific religion, but I'm positive that you'll find something relevant somewhere in the realm of comparative religion.
Aleister Crowley is the prophet of a religion called Thelema, and it's sort of like the extremely lewd cousin of Wicca. While Crowley is often labeled as being the "wickedest man on the earth," when he received Liber AL vel Legis (the primary Thelemic holy book) he was happily Buddhist. He hated Thelema and his own crisis of conversion involved trying to change wording that bothered him, trying to interpret things symbolically when they were clearly literal, etc.. Thelema clashed terribly with the Buddhist morals he lived with and the Christian morals he had been raised with, and it took him a lot of time and soul-searching to let go of the old and accept the new.
I have personally found it helpful to try and write out what I believe. What I think the after-life is like, what I think is moral and immoral, why I think magick works, etc.. I did a lot of it in the form of responses - I'd look at the morals or core beliefs of a specific religion or tradition and write down what I agree with and why as well as what I disagree with, why I disagree, and what I think is right. My feelings have changed quite a bit since I started that project, but I now always know with great certainty what my current beliefs are.
I hope this has helped and if you have any further questions, fire away! I'll try to answer those too.
Blessed Be, Sullenmoon! May the Divine guide you on your path.