The Scots were made up of the Scottish Gaels who came from Ireland and brought their Gods with them, and the Picts of whom we know very, very little in terms of their religion. There's a rather good listing of the Celtic Gods and Goddesses at http://www.joellessacredgrove.com/Celtic/deitiesnoframes.html which indicates the regions of the Celtic lands in which they were worshiped.
Well, there are lots of Scottish deities or myths but it would be really difficult to make a complete list. There are lots of local myths that are well-known in one area but ten miles down the road nobody will have a clue what your talking about. Furthermore, there's lots of crossover between Irish myths and Scottish myths so the same figure will have a different story depending on which version you're reading. (Plus, there are certain "deities" that are gods in some places but just spirits in others).
I can suggest a few books which make a good starting point though.
Scottish Folk and Fairytales by Gordon Jarvie and Barbara Brown (the Penguin edition is the best)
The Lore of Scotland; A giude to Scottish legends by Jennifer Westwood and Sophia Kingshill (It's quite good because it organises the stories by area)
Google should also help you. There are tons of websites that will give condensed versions of the old stories.