Generally speaking, I don't believe it's my business how people see or worship the Gods. It doesn't matter to me if you believe all Gods are really One God, that they're all completely separate individuals, that they're something in-between, or even if you don't sincerely believe in them at all.
It's not unreasonable, in my opinion, for people to come to some sort of soft-polytheist conclusion about the Gods. There are some mythological themes that pop up time and time again, such as the theme of a thunder God defeating or attempting to defeat a snake-like creature; I think it would be perfectly intuitive to say "all these thunder Gods are actually the same God, as these stories are quite similar." On the flipside, it isn't unreasonable to say all of the Gods and Goddesses are aspects of one massive, multifaceted deity, and there was even plenty of precedent for that in antiquity. While I have come to my own conclusions—I believe Artemis and Diana are the same Goddess, but not the same Goddess as Skaði, for instance—I don't think it's unreasonable or offensive that people have come to different conclusions than I did.
There is one notable exception: I strongly discourage you from seeing the Gods and Goddesses as two binary-gendered beings, with The God encompassing all of the male Gods of the world and The Goddess ecompassing all of the female Goddesses.
When I first started studying Paganism, this was a really common way for people to conceptualize the divine. I read in the books and websites I was learning from that every Goddess from Artemis to Bast to Freya to Mētztli and every other Goddess were really just names or faces of One Goddess, The Goddess, and that every God from Yahweh to Apollo to Thor to Quetzalcoatl and every other God was a name or face of One God, The God. Furthermore, they were definitely lovers.
Guys, this is like... ludicrously heterosexist.
When I point this out, the rebuttal I usually get is something like "Well, no, there's nothing wrong with being gay, but The God and The Goddess aren't and don't have to be." They'll add in things like "Well, we all have a mother and a father," or "Well, there's nothing wrong with being gay, but it's men and women who are responsible for ~creation~, so it makes sense that The God and The Goddess would be a heterosexual couple."
But this kind of skirts around the problem. If you acknowledge that you are worshiping a specific God and Goddess, who you call The God and The Goddess, and they are a married heterosexual couple... it might be worth unpacking a bit, but it's not really what I'm talking about. I mean a specific form of soft polytheism that sees all of the Gods and Goddesses humanity has discovered, in their nearly-infinite diversity, and says "The only real distinction we need to make here is 'Man or woman?'"
Then, to put the icing on the cake, all those Gods and all those Goddesses are forced into one singular mythological framework that happens to be the most basic heterosexual one. In many cases, the natures of two Goddesses or two Gods conflict with each other much more than they do between a typical Goddess and God. For instance, Set from the Egyptian pantheon is a God of, essentially, infertility. He has his more fertile moments, sure—he is the God of the oasis as well as the desert—but compare him to his brother Osiris, explicitly a God of the dark, fertile soil collecting around the Nile River at the time, also the ruler of the Underworld. Then compare both to, say, Persephone... a Greek Goddess of grain and vegetation who seasonally enters the Underworld. While I would not argue that Osiris and Persephone are the same, Persephone and Osiris have much more in common than Osiris and Set. After all, they are literally enemies.
And this is all before we factor in that queer and trans Gods exist. In this consolidation of the Gods into two completely binary genders that definitely also fuck, where do we fit Hermaphroditos or Agdistis? What about Horus and Set? Or like... virtually every Greek God? What about all the Gods and Goddesses who have no partners at all?
How about Atum, who reproduced with himself through masturbation? There are loads of mythological stories out there of Gods and Goddesses creating without having heterosexual sex. Where do they fit in, here?
The point is this: Out of all of the soft-polytheist ways to see the Gods, this is the one that makes the least sense.
Happy Trails,
Wolfpeach