The Christians worship Yahweh, the God of the Jews. Muslims call him Allah. Basically the Christians and Muslims co opted the Jewish God as their own. Each culture or people had their own gods. The greeks, romans, indo aryans and jews had their god or gods.
The only difference is that the jewish god only allows the worship of himself and nothing else whereas in the other ancient cultures, their gods were willing to share power. If you look at it carefully, monotheism is based on the worship of an intolerant and selfish God. He was more of a dictator and he murdered millions if they displeased him (biblical flood) and promises to murder billions more on judgment day according to Christians and Muslims writings.
The pagan gods of other culture had debates among themselves and with mortal men & women. They were more consultative and democratic in a way. The Greek Gods mythological stories inspired early Greek democracy.
FYI i hated this episode. Zeus was responsible for the birth of Greek culture and civilization according to mythology. Without him, there would no ancient Greek or for that matter European civilization to begin with.
I think the show has made it clear that "the" God is on a whole different level to these other gods. They seem more on par with the archangels or leviathans. For one thing they appear to be restricted to Earth and humans, while God (and Death for that matter) are apparantly responsible for the entire universe.
Actually, the pagan deities bare a lot of similarities to the gods of Terry Pratchett's Discworld books. They're essentially belief parasites.