When you say diety I suppose you mean the "gods" of different religions? If this is the case then connecting to them and asking for their help has always been said to be advantageous. Although I have no religion I know that protection (circles, pre-rituals and Ceremonial magick) often involves invoking the protective powers of a god/goddes to stop the practitioner from being harmed.
In many religions there is some kind of initiation before that god/goddess will heed you as a member of its faith. Such as in Christianity with Baptism or in Satanism with the ritual of dedication. I do not believe that this should be necessary as the love for a god/goddess is from within not from a ceremony. Although the ceremony could be considered as telling that god/goddess of your faith.
Also prayer is an interesting feat as it is often considered as asking that god/goddess for help with something. In many ways this is a spell. As it is using your energy to call out for the assistance of a spiritual being. Such as many spells you will find on this website involve the sacred names of many gods/godess' in their chants.
So there is much to consider when asking about diety's, but I have always been told to go with your "gut instinct" when it comes to choosing a faith. The more practiced ones are far easier to find information on as there are more people to ask about it. I would consider looking at what difference diety's have to offer and choose upon the one you feel most connected to