Alkosh
Dragon King of Cats / God of Time
A cultural hero, and one of the earliest gods among the Khajiit culture, his worship was co-opted during the establishment of the Riddle'thar, although worship of Alkosh as a deity continues to flourish among Elsweyr's desert-blasted regions. Most commonly depicted as a fearsome dragon with feline features, the Khajiit typically describe Alkosh as "a real big cat". Popular myth among the Khajiiti holds that he repelled an early Aldmeri pogrom of Pelinal Whitestrake.

Azurah
Goddess of Dusk and Dawn
Sister to Nirni, the plane and goddess upon which the Khajiiti dwell, Azurah is the goddess to whom the Khajiit attribute both their current form and the mysterious tie between them and the Lunar Lattice. While she shares many characteristics with the goddess of Azura of other cultures, she is a separate entity, and makes few appearances amongst Khajiiti myth apart from that of their origin.

Baan Dar
The Pariah
Regarded more as a manifestation than a formal god, Baan Dar is the personification of Khajiiti cleverness and the wit engendered of long-suffering on their part. He is commonly attributed with that genius which lends itself to the creation of last-minute plans to foil the machinations of the Khajiit's foes, man or mer.

Khenarthi
Goddess of the Winds
Little is known of the worship of Khenarthi, whom the Khajiit hold to be the Goddess of the Winds, whose breath sustains her kin, Jode and Jone, on their path through the sky. She is also credited with aiding the Khajiit with swiftness.

Jode
Big Moon God
One aspect of the Lunar Lattice, Jode is revered in a unique manner by each sub-species of Khajiit, as regards their aspect at the time of the Khajiit's birth.

Jone
Little Moon God
One aspect of the Lunar Lattice, Jone is revered in a unique manner by each sub-species of Khajiit, as regards their aspect at the time of the Khajiit's birth.

Lorkhaj
The Moon Beast
Held between admiration - for his great deceit and cunning - and contempt, Lorkhaj is easily identifiable with the tales of Lorkhan, and among the Khajiit is credited with the creation of the mortal plane.

Mara
The Mother Cat / Goddess of Love
The Goddess of Love, to Mara is attributed all the passion of the Khajiit. Nothing is known of her worship among the Khajiiti.

Merrunz
Ja'Khajiit
Comparable to Mehrunes Dagon, Merrunz is an eternally-young god of cat-like form; thus, as a kitten, do the Khajiit explain his natural tendency to rend and destroy the world around him.

Rajhin
The Footpad / The Silent Walker
The thief-god of the Khajiiti, legend holds that Rajhin grew up in the Black Kiergo section of Senchal. In life, Rajhin was the most infamous burglar in Elsweyr's history, said to have stolen a tattoo from the neck of the Empress Kintyra as she slept. After his death, Rajhin was inculcated among the Khajiit gods, to serve as an example to them of cleverness and adroit ability. His blessing is most often asked for before undertaking activies of a less-than-lawful nature.

Riddle'thar
Two-Moons Dance / The Sugar God
The cosmic order deity of the Khajiit, the Riddle'thar was revealed to the citizens of Elsweyr by the prophet Rid-Thar-ri'Datta. The Riddle'thar is more a set of guidelines than a single entity, although it has been known that some of his avatars appear as humble messengers of the gods to those in need.

S'rendarr
The Runt / God of Mercy
Nothing is known of S'rendarr, save that the Khajiit revere him as the God of Mercy.

Sheggorath
Skooma Cat
The God of Madness, Sheggorath is easily identifiable with the Imperial Sheogorath, the negative effects of Skooma and Moon Sugar being attributed to his presence among the Khajiit.

All info is taken from UESP

You know its interesting that nothing is know about S'rendarr. I wonder if its because the Khajiit don't view Mercy as a very important aspect of life. It's just a theory.

This is pretty cool. ^^

So the big cats got gods.