Shiva is the god of wisdom, knowledge, death, and rebirth in Hinduism. He is the destroyer, who represents the end of the universal cycle. He is credited with introducing the practice of yoga, in his life on earth as the Adiyogi - the first yogi. Just as Brahma created the world, and Vishnu preserves it, Shiva will usher in the end of times - the death of the current age, and the birth of a new epoch.
Many Hindus and pagans have a patron deity, or personal god, whom they worship before all other gods. This deity is chosen due to a special, personal connection between the individual and the deity. For instance, one who is a musician may worship a god of music.
I consider Shiva (and his various incarnations) to be my patron deity. The connection I have with Shiva is mainly due to my affinity for meditation. Shiva is associated with meditation, and is also the founder of yoga. My introduction to spirituality was through discovering meditation, and achieving "altered" states of awareness through its practice. Meditation is a founded practice throughout much of the world, in many different ways. Indo-European cultures uphold meditation as a means of communicating with the divine, as well as recognizing one's own soul.
The question is, who is Shiva?
As aforementioned, Shiva is the god of wisdom, meditation, yoga, death and rebirth. He is also the "destroyer," or the manifestation of the end of times. But this doesn't say a whole lot about who he is, or why I worship him. Shiva means "that which is not," or "unmanifest." "Shi" means "in whom all things lie and pervade," and "va" means "embodiment of grace." At his highest essence, Shiva is formless. He permeates all things, and is synonymous with existence itself. However, he is capable of having forms, such as when he became the Adiyogi, or as the form of the Hindu god Ganesha.
Shiva is considered to be the same god as Rudra, a Hindu deity mentioned in the Rig Veda. The word Shiva was originally used as an epithet for Rudra. Later scriptural sources refer to Shiva in place of Rudra. The name Rudra is a Vedic term, and Shiva first appears as a name in the Puranas. Rudra is a storm god, and he is also god of the hunt. Thus, these attributes could also be applied to the Puranic Shiva.
The deities of the Vedas correspond with other Indo-European deities, such as the Vedic Surya corresponding with the Norse Sól, or the Vedic Dyaus corresponding with the Greek Zeus. Vedic deities tend to be a bit more complex, as sometimes multiple different deities correspond to only one deity in other Indo-European pantheons. This relates to the Hindu idea of the deities being representations of one higher divinity, called Brahman. Understanding this, we can assume that Rudra, and therefore Shiva, corresponds to multiple deities in other Indo-European traditions.
It's highly debatable which deity or deities Rudra and Shiva correspond with. In Norse mythology, Odin is the god of the hunt, like Rudra. He is also a wisdom, death and rebirth deity, like Shiva. Shiva could therefore be the Vedic understanding of Odin. However, this may only be half-true. The Norse god Ullr is also a hunting deity, and the Norse god Thor is a storm god. Hence, these gods could also relate to Shiva, and Shiva also be the Vedic interpretation of Ullr and Thor. However, Odin has also been worshiped as a hunting deity in the past.
I personally think Indra is a better candidate for the "Vedic Thor" than Shiva or Rudra is. The patronages of Shiva (wisdom, meditation, divination, death, rebirth, etc.) are more identical to those of Odin, while those of Rudra (hunting, storm, wind) are more similar to Ullr and Thor. Ultimately, this raises a lot of questions regarding the link between Rudra and Shiva, and what precisely makes them the same deity. It could be that Shiva has, under the name Rudra, also been a god of storm and the hunt during the Vedic era. He may have been worshiped for more than what he is currently worshiped for today.
While the background of Rudra seems quite mysterious and debatable, I see Shiva as the same as Odin, the god of wisdom, poetry, knowledge, runes, magic, death and rebirth. Odin, like Shiva, is formless, but has had several forms. These include Grimnir and Baldr, both names given to Odin. This is much in the same way that Shiva has alternate forms, such as Ganesha (the "elephant-god"). These names refer to different aspects of the deity.
So, for me to say that I worship Shiva is also to say that I worship Odin. To me, they are one in the same god, just with different names and attestations. They are seen differently by their respective cultures, however, they are referring to the same thing.
While I do hold other gods in high regard, I have always felt an important connection to Shiva. My pursuit of meditation in the path to wisdom and spiritual enlightenment has naturally caused me to see Shiva as an archetype to strive for. My prayers to Shiva are answered when I better myself by becoming wiser, smarter and stronger (both physically and mentally). The spiritual journey is about conquest over materialism and the distractions that come from it. Shiva, Rudra, and Odin represent that journey of overcoming, and the end goal of wisdom.
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