I've tried eclectic paganism, LaVey Satanism, and Hellenic Reconstruction. The duality of Wicca didn't do it for me and the Celtic and Norse gods didn't talk to me. Belief-wise I'm polytheistic and focused on the Greek gods, with the notion that humans and gods/lesser spirits form a partnership of beings with vastly different capabilities. Of course, there are many signs that my notion is wrong. The last I saw, my type was called Hellenic Noe-Pagan.
There is choice and there is choice. I was called by Apollo about 10 years ago, I think. After that I was not able to adopt any other belief as my own. I was claimed then ignored; Hermes makes his presence known in my life instead so maybe he won me in a bet or something. During this time, I've studied Quakerism (Society of Friends), Soka Gakkai (the "Nam Myo Ho Renge Kyo" people), Judaism, Episcopalian, Native American spirituality and Unificationism (as in "the Moonies"). I can study all I want at home; I even baked Charla and celebrated the Jewish sabbath. But somehow I only manage to go to whatever "holy/worship/gathering" place the other religions have once or twice. I'm just not allowed.
I'm fairly comfortable with my (not really a) choice. I don't have any crazy bans or taboos. The b**ch-slap for not giving regular offerings isn't even noticeable, so maybe they're ignoring my insolence. I do have to help travelers so if there's money on me, beggars always get. Last weekend, a women even came up to me and my friends in a night club asking for bus fare because she drank all her money. Pantheons can be battlegrounds. Your divine "friend" may have some enemies. If a god chooses you, other gods may hate you based on their relationship with that other. I've been trying to get Hera to listen to me for years and provide a husband, but since I'm "part of Hermes' entourage" she doesn't care. And Aphrodite keeps sending me other women's husbands.

You just learn to roll with it. Good luck!