Actually I would suggest starting with your local library and reading books of mythology from various cultures. Those stories will tell you a good deal about the nature of various Gods so you can see whether there might be one you would like to work with.
I'd also highly recommend the book "Devoted To You" by Judy Harrow that discusses creating a lasting relationship with a personal Deity.
Think of it as a process of elimination. There are several religions and pantheons from around the world to choose from.
Myself, I'd start by choosing a culture that resonates with me on a personal level. Maybe because of genetic history (Irish, welsh, norse, etc.)or maybe one of them just "feels" right. This entire process really involves learning to trust your instincts, and let them guide you in the right direction.
Once you've found a pantheon that speaks to you, do some research on that pantheon. Research various god/dess names, attributes, mythology, associated festivals and rituals and make an educated decision (again, let your gut instinct guide you)
When it comes to narrowing it down further, you could always take a few days to contemplate it, send your intent out in the form of a prayer or ritual, or consult a divinatory device for elaboration. As a typical rule of thumb, like attracts like. That is to say you will have a much easier time working with deities who possess a nature similar to, or harmonious with your own. Spend a bit of time contemplating them, and see which energies mesh well with your own.
(One consideration here, is that at times it may prove beneficial to work with deities who possess properties you don't inherently possess yourself. For example, working with a pantheons god of war or justice for assistance developing qualities of courage or boldness. Working with a god/dess of wisdom or prophecy when insight is needed about a specific problem.)
Beyond that, there's really not a whole lot to say. The entire process is immensely personal, and rightly so. Others can provide insight, but only you can decide on a course. Put the call out there though. Declare your intention, and let it go out like a beacon. You may be surprised to find that synchronicites that guide you right to the answers you've been searching for.
