The Pantheon lets you selectively enhance your character for the dangers that lay ahead. By defeating any of the major or minor gods in Part 2, your character gains access to that god's Pantheon power. You can have one major and one minor Pantheon power active at any given time. Each Pantheon power only enhances a narrow aspect of your character's survivability, so carefully consider what you are likely to soon face, and select a power that'll best help you. You can only change which Pantheon powers are active in a Town or Hideout, but doing so is entirely free.
Enhancing Your Pantheon
At later levels you can upgrade each power, broadening the protection it provides. To do so, you have to obtain a Divine Vessel and put it in your map device, then open a map that contains one of the map bosses displayed on the Pantheon.