Zeus and Athena were Greek Gods. I’m rather sure that the Romans actually adopted the greek pantheon of gods. I don’t know if it was just a changing of names, or if the Roman the gods hold different myths and legends entirely.
The Romans had their own pantheon, howvere they identified many of their Gods with Gods in the Greek pantheon or simply took Greek Gods and added them to their pantheon (Zeus was identified with Jupiter and Athena with Minerva) and Roman mythology is very heavily influenced by Greek mythology. Later they also absorbed the Egyptian Gods into their pantheon and worshiped Osiris and Isis in particular.
To the OP, the main relgions would of been the differnet Jewish sects and the Roman pantheon, indeed King Herod (The Great, the father of the King Herod who appears in the Passion)as well as building the temple in Jerusalem also built a temple dedicated to Augustus Caesar (then Roman Emperor) much to the charigin of the Jewish population of his kingdom (which was at that time a client kingdom of Rome). You also have the Samaritians, a religion regarded by mainstream Judaism as herectical (but still very simlair to Judaism), probably formed by the mixing of Jewish and Assyrian populations and traditions, which had it’s own temple.
Well, bear_nenno, you could argue that they never really died off, they were merely subsumed by later religions, including Christianity.
For that matter, they didn’t really exist as unified systems at all. By the early empire, around the time of Jesus, there was no real stable religion around, only various mixes of Greek, Roman, Egyptian and many other systems, including ancient Animism.
For example, it has been argued that the Roman festival of Saturnalia (honouring Saturn, held around the winter solstice) became Christmas. It has also been argued that Christianity incorporates a great deal of other religions, such as Manichaeism, related to Zoroastrianism. These other religions were popular in the 200s and 300s when Christianity really started to take off.
In Rome, the pagan religion lasted at least until 391, in which year the emperor Theodosius I officially banned it. By that time, Christianity had already been declared the state religion. Christianity’s ascent to popularity began around 313, when Constantine issued the Edict of Milan (ending the persecution of Christians), and it just kept growing until it eventually eclipsed the pagan religion.
There were certainly pockets of paganism, particularly among old Roman families, that probably survived for a few more years past 391… but for all intents and purposes, it had died out as a major religion by the 5th century A.D. What was left of it was assimilated into Christianity, like lambchops points out.
I expect that Egyptian religion followed a similar pattern, but I don’t know enough to say for certain.