Honestly, it depends a lot on the given region and religion. With the Greeks, Romans, and Egyptians, we have a lot of religious writings, ritual instructions and calendars, and archeological evidence. There are a few holes in our knowledge, such as with the mystery cults of late antiquity, but we have a reasonably decent idea of what day to day religious life was like throughout the Greco-Roman and Egyptian world.

On the other hand, we honestly don't know much about the Germanic peoples' religions. Our best sources of mythology, the Poetic and Prose Eddas, were written centuries after the Norse had been converted and are believed to be heavily edited to fit better in a Christian readership's views of the world. Likewise, we have some descriptions from Roman writers like Tacitus of what the Germanic peoples were like in terms of religion, but we don't know how accurate they actually are. We don't have actual, primary texts like we do with Greco-Roman religion. We have some archeological evidence, but their actual purposes are largely a matter of speculation.

So yeah, it's largely a matter of place. The more "civilized" Mediterranean world left a good deal of evidence of what their religion was like before the conversion, while our evidence for less civilized areas is much more scant and vague.

We have a quite good idea of what Finnish paganism was, because modern-day Finland was one of the last places in Europe to be christianized and thus there was less time to cleanse it from paganism. Father of Finnish literature, Mikael Agricola, wrote a 'list of false gods' in 16th century describing several pagan gods. We also have some very interesting oral tradition available: Elias Lönnrot gathered the poetic saga Kalevala in 19th century from Karelian poets/singers/bards that had kept their traditions alive for generation after generation. This saga gives insight to the world view and myths of pre-Christian times.

We know that Finnish Paganism was polytheistic in nature with elements of animism and even pantheism. There were several deities, some greater and some lesser, but many natural beings were also considered sacred. We also know that Finnish Paganism was influenced by both Germanic and Baltic religions and vice versa.

Ukko (ylijumala), god of sky, weather, crops and thunder, is considered to be the 'chief god', although some historians argue that this could be late Christian influence of having one almighty male deity high in the heavens. Symbols attributed to him were paintings and carvings of lightning, but also hammers that resembled those of Thor's Mjölnir in Germanic mythology.

Most deities were somehow connected to nature. Ahti was the god of waters, Tapio the god of forest. Powerful natural phenomena and fauna, especially big predators, were also considered to be godly in nature. One example is the eurasian brown bear or karhu in Finnish. You were not supposed to say 'karhu's name' in vain, thus several other names were given. Oftentimes karhu was considered to be a physical manifestation of gods on earth. Hunting a bear was a great challenge, a heroquest of sorts, and once you killed a bear you had a feast in its honour (where hunters ate the bear meat) and held a religious ceremony with its bones. It was believed that by doing this the spirit of karhu returned to the sky from where it would descend once again, reincarnated with a new body. This hunting tradition called peijaiset is still practiced in some form amongst modern-day Finnish hunters.

There is plenty more, I'm just scratching the surface.

Edit: fixed typos and links

Pitching in for the Baltic pagan gods. While the biggest obstacle to know more about pagan beliefs is the lack of written text except for some texts that were written from Christian clergy perspective (the earliest in Latvian case being 12th century Livonian Chronicle of Henry in which some pagan rituals like feeding the souls of the dead are described, but there were many more, mostly around 15th, 16th century), there is plenty of oral tradition that has been gathered mostly in the second part of the 19th century (during a period which is known as the first a national awakening in Latvia) as well as archeological data and linguistic research, enough so that there are existing modern neo-pagan religions based on old beliefs ([Romuva](https://en.wikipedia.org/wiki/Romuva_(religion) in Lithuania and Dievturība in Latvia). There have been important and venerated folklorists from the 19th century (Vydūnas and Krišjānis Barons) who have gathered the oral folklore, mostly songs, giving a glimpse regarding those ancient beliefs. Also, even as far as the 19th century offerings to pagan gods in rural areas are well documented as the rural, local language speaking serfs lived quite separate lives from their German lords.

There is another aspect that makes it hard to know the exact nuances of these early pagan religions - the beliefs have been influenced by Christianity and vice versa in a similar way like how Mesoamerican beliefs have influenced Christianity in Central America. For example, Māra, the female counterpart of God in Latvian mythology or, the Mother Earth, has some similarities with Mother Mary both in name and some aspects, and probably was a transformation from Baltic goddess of happiness Laima (which almost literally translates to "hapiness" in both Latvian and Lithuanian).

Interestingly, some aspects of these beliefs are still practiced today, like pagan holidays and some rituals, especially during weddings. Many weddings at least in Latvia usually start in a church, but can end in very paganistic family/fertility rituals as midnight approaches.

While in many countries ancient pagan symbols and beliefs are connected with far-right sentiments, in the Baltics it has become very widely accepted and incorporated in modern culture. Some older people from rural areas would even hold some really old superstitious beliefs that clearly don't come from Christianity.

An interesting example - my grandma used to regard water snakes as a symbol of good luck and well being and would feed them milk if saw one near her house (the black , non-venomous water snake in Baltic mythology is considered a holy animal that is connected with the spirit world, as well as a symbol of wisdom and magic as opposed to Christianity where the serpent is the symbol of evil and chaos).

EDIT: Fun fact from history, documented in the aformentioned chronicles of Henry - Livonian (a finno-ugric tribe), and pre-Latvian tribes would accept christianity either after a military defeat or as a bargaining tool for economic gain, but after the baptism would go to river Daugava, known as the river of fate, and "wash away Christianity".

Follow up question: How interrelated are those deities? I think I've read once that those deities has the same Indo-European roots, like how Perun-Thor-Zeus are basically the same deity. Is this true, or it's just a case of people thinking Thunders are awesome/scary and assigning a supernatural Deity to them?