1) I don’t have to follow a bunch of religious laws, or sell my soul, or sell my soul and follow a bunch of religious laws. As long as I act with honor and courage, I’m good for the afterlife.
2) I don’t have a single god. I have dozens upon dozens of gods. Need help with Law, I go to one of them. Need help writing a poem, I go to another. Need help in a fight, I have my pick from at least half a dozen. If for whatever reason I piss one off, there’s always another I can go to for help. Jews, Christians, and Muslims piss of their god, they’re screwed.
3) My Gods and Goddesses aren’t some high and mighty beings who demand obedience from me. They’re family, my ancestors, who joined with my ancient human ancestors and mixed their blood together. I don’t have to bow and kneel to them, I get to walk with them as friends and family.
4) I pretty much get to define my own morality. The closest thing Heathens have to anything like the “Ten Commandments” are the Nine Noble Virtues. And they don’t ban actives, they just tell you nine things that are good to live by.
5) I bloody well get to use magic!