It seems like many of the Heathens I meet go all "Eeeeeek!" when I tell them my favourite god from the Norse lore is Loki. But hey, as I've said, one of the reasons I like polytheism is that each person can choose the god that suits him/her best. The lore provides a pantheon and I can choose whoever I like most. To me it is like a menu at the restaurant.
Let's say you walk into a restaurant, the waiter hands you the menu, and you say "I want pizza A". The waiter suddenly freaks and sais "Pizza A? How can you possibly like pizza A? Take pizza B, C, or D, pizzas with honor!". I'd say "Well, pizza B is old and wise therefore boring (Odin), pizza C has a quick temper and doesn't suit my personality anyway (Thor), and pizza D... well pizza D attracts bad luck like a magnet and besides, pizza A (Loki) wants to do pizza D in and I don't see pizza D (Baldr) making it!".
I am at liberty to choose any pizza I want from the menu. And I can choose any god I want from the pantheon. They should just be happy I do like someone from their pantheon, just like the waiters would be happy I chose to eat something at their restaurant.
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