The names or formal designations of deities are typically capitalized (CMS §8.90):

Allah

Baal

God

Elohim

Isis

Jesus

the Lord

Mithra

Sun God of Heaven

the Trinity

Zeus

So, too, are alternative names of God or one of the persons of the Trinity (SBLHS 2 §4.3.4.2)

Creator

Father

Holy Spirit

Immanuel

King of kings

Son

Son of God

Son of Man

When the point is to exalt the Divinity over lesser beings, the words Deity, the Divine, or the Divinity may be capitalized. However, in an academic context the trend should be to lowercase (see SBLHS 2 §4.3.4.2).

Forms of the Tetragrammaton are also capitalized:

Yahweh

YHWH

One may also use the Lord as a translation for the Tetragrammaton. In such cases, Lord should be capitalized without small caps (unless one is quoting a translation that uses small caps, in which case one preserves the small caps of the source). The SBLHS 2 does not privilege one form of the Tetragrammaton over another. However, we recommend that authors or volume editors choose one form and use it consistently. We discourage the use of Jawheh.

The names of angels, demons, and the like are also capitalized:

Azaz’el

Lilith

Michael

Resheph

Satan (but the satan)

Generic terms for deities, angels, demons, and the like should be lowercase:

angel

cherubim

demon

devil

nephalim

rephaim

seraphim

sun god

the god

the goddess

the gods

the watchers