As several others have said, the gods are powerful entities over their domain and as such require propitiation to work toward your best interests. In this way, many polytheistic practices require "magical thinking". The domains of life outside human control are personified and your actions towards those personified entities can produce (sometimes)predicatable outcomes. Sometimes this may demand certain modes of living, but generally meant "giving cult" to the religious practitioners representing the deity.

That is one if the reasons why philosophy became so prevalent in ancient polytheistic societies. Philosophy is what discusses the meaning of life and the mode of attaining that meaning through modes of being or living. In most monotheistic practices, this role is collapsed into the head religious practitioner. Paul, to a certain degree, sold Christianity to Greeks and Romans as a new philosophy, as that would demand life change, rather than just another deity to offer cult to.

Paul Hadot's book "Philosophy as a way of Life" demonstrates this well.