I'm afraid I'm going to have to step away from D&D for my favorite deity, because my favorite is not one from a D&D game I ran, played in, or even heard about. It isn't even one I created myself... He's one I played.
Caleb Marsh, Baron of Moths.
A Boston dandy from the late 1700's who cheated the previous god of moths out of his mantle, and his life.
Now, moths may not be much of a portfolio, and there certainly aren't a lot of worshipers, but Caleb didn't care. As the CEO of MarshCorp, and a god, his life for the last several hundred years has been everything he'd ever dreamed of. Minus the attempts of rival gods to take his power, or of entropy to utterly destroy him, of course.
His best friend is Crackerjack, an evil sentient ivy plant (also a god) who he plays cards with (they both cheat). His older sister is the Lady of Summer, an older brother is the Lord of Eagles, and he once caused the sun to set in the East to save his overgod's very existence.
If you're interested in reading about the scenario I played Caleb in, you can download Briar & Honeysuckle, the scenario for Nobilis here: http://www.irishgaming.com/scenario_storage/gh/briar.zip