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The word Pagan
When people are asked what their religion is, they reply, “I’m Catholic,” or “I’m Methodist,” or “I’m Pentecostal.” Occasionally, people will say, “I am Christian,” or “I am Muslim,” but when people who practice the ancient Greek religion are asked this question, there is confusion as to how to reply. In fact, in ancient times there was no specific name for the Greek religion until the reign of the Roman Emperor Julian; there was no need for a name, because there was virtually no religious exclusivism and the worship of the Gods was just simply religion: thrîskeia (θρησκεία). When Christianity gained political power, there arose a need for a name to distinguish it from this new and totally exclusive religion, and that will be examined later in this essay when we discuss the word Hellene. Likewise, there was no specific name for a practitioner of the ancient Greek religion until the dawn of Christianity, and it was the Christians who chose a name for us; that name survives to this day: pagan.
Native American “Indian” tribes usually did not choose the names we know them by, but were named by rival tribes, and those names were often derogatory. Likewise, pagan is not a name that we chose for ourselves, and it was not meant as a compliment.
“...paganus, the root of ‘pagan’ as well as ‘peasant,’ is consistently pejorative..” 
In the West, we have these various words: pagan, Christian, and atheist. In the eyes of some Christians, all people who do not worship their god are referred to as pagans and outsiders. An interesting fact is that the term atheist was first used by the ancient practitioners of our religion to describe Christians. The Christians did not believe in the Gods of the ancestral tradition; they only believed in one god.
"In the early Christian period, atheism, in our sense, was not an option. ‘Atheists’ were either Epicureans who denied the Gods’ providence, but not their existence, or Jews and Christians who worshipped their own god, while denying everyone else’s." 
One thing is quite certain, the word pagan in antiquity referred to worshipers of the ancient Gods of the Roman Empire. Jonathan Kirsch in his book God Against The Gods says:
“ ‘Pagan’ is a word invented by early Christians to describe anyone who refused to recognize the Only True God, and no self-respecting pagan ever described himself as one.” 
According to Robin Lane Fox in Pagans and Christians, it was the Christians who first used the term to refer to the adherents of the old tradition:
“Pagani were civilians who had not enlisted through baptism as soldiers (Latin: milites) of Christ against the powers of Satan.” 
The word pagan comes from the Latin paganus . According to Pierre Chuvin:
“A paganus is the inhabitant of a pagus, a country district, a man whose roots, unlike a soldier's, are where he lives.” 
Further, Chuvin goes on to say that pagans are those who...
“preserved their local customs, whereas the alieni, the ‘people from elsewhere,’ were increasingly Christian.” 
And Chuvin states that the use of the term was consistently pejorative. 
After the old religion was suppressed by Christian church, the term pagan increasingly began to take on the meaning of “peasant,” not unlike the modern derogative epithet “hillbilly.” This is due to the fact that in late antiquity the practitioners of the ancient religious traditions were becoming confined to rural areas, areas much more difficult for state and religious authority to control. In fact, the majority of the practitioners of our religion at this time were indeed peasants, the intellectuals in the cities having been forced into secrecy or to convert to the new religion.
“Theod. xvi. ro. 4, 6), forbidding all sacrifices on pain of death, and still more by the statutes of Theodosius (Cod. Theod. xvi.10.12) enacted in 392, in which sacrifice and divination were declared treasonable and punish-able with death; the use of lights, incense, garlands and libations was to involve the forfeiture of house and land where they were used; and all who entered heathen temples were to be fined.” 
This identification of the word pagan with the uneducated is particularly distressing to contemporary practitioners of the religion, given that the ancient Greek religion is a sophisticated tradition with innumerable intellectual achievements.
Through the centuries, the name pagan, rightly or not, has become identified with all kinds of negative associations, baggage which we should in no way identify with. If you call yourself pagan, the assumption is that you promote evil and believe in magic, superstition, eclecticism, and likely worship the “devil.” While this may be an unfair criticism of religious groups who do indeed identify themselves as pagan or neo-pagan, it is better to let them fight their own battles, and I would also suggest that it is wise for us to dissociate our religion from practices which are foreign to it. Of course, these groups have a right to choose whatever name they wish to call themselves, and there has been a positive revision of the meaning of the word pagan in recent years, but what they call themselves is, in reality, their business, not ours. We are not required to be under the umbrella of modern paganism, as though we are “just another pagan religion.” We possess a unique and venerable ancient religion. Nonetheless, some have suggested, since our numbers are small, that all non-Abrahamic religions need to band together, for there is strength in numbers, but I have faith in the Gods and have confidence that we have their power to sustain us, which enables us to stand on our own.
The word Hellene
Another word from antiquity used by some in the modern religion is Hellene (Ἕλλην, plural is Ἕλληνες). The original meaning of this word is that a Hellene is a person of Greek heritage, for the Greeks are the descendants of Hellen, the son of Defkalíôn (Δευκαλίων). During the early Christian era, the word Hellene was used by the Emperor Julian to identify those like himself, who followed the ancient polytheistic religion, regardless of ethnicity, to differentiate themselves from the new Christian religion, and he referred to the religion as Ællînismόs (Hellenismos, Ἑλληνισμός), a word which literally means “Greek.”
“He (ed. Julian) encouraged the Hellenes, the term he uses to describe what Christians called ‘pagans’ ” 
After Julian was assassinated and his attempt to restore the ancient religion failed, ethnic Greeks avoided identification with the name Hellene to escape persecution by the church and the Empire.
“ ‘Hellene’ in the sense of ‘pagan’ was as widely used by ‘upholders of the ancient religion’ as by their adversaries, with the occasional qualification of ‘in matters of faith.’ This term is deceptive, for in the mouths of Christians it seems to include in the same censure both paganism and Greco-Roman culture, whereas long before the fifth century both Christians and pagans admired and studied the same classical texts. As a matter of fact, the term Hellene had primarily negative implications: pagans were no longer ‘Romans,’ the legitimate heirs of the Empire.” 
Much later, during the period of the Crusades, this practice was reversed because the Byzantines suffered much at the hands of western countries. On account of this abuse, ethnic Greeks began again to adopt the name Hellene, but with no connotation of belief in the ancient Gods, but, rather, as a matter of ethnic and nationalistic pride. The use of the word Hellene to identify Greeks was solidified after the War of Independence from the Ottoman Empire. This tradition continues to this day in that Hellene simply means “Greek,” as it originally did.
The word Hellene is used in modern times by some people who follow the ancient religion to refer to themselves, and from the above explanation, the reader can see that there is historical precedent for this use of the word, but this usage is unacceptable to many modern ethnic Greeks who feel that it robs them of their identity. Nonetheless, this author’s teacher was 100% Greek, living in Greece, and called anyone who genuinely practiced the ancient religion a Hellene, including me, who is not ethnically Greek; her definition of Hellene was very special: a Hellene is one who gives, one who shares, regardless of their ethnic origin.
There are some other words and phrases used to identify practitioners of our religion. Some prefer the term Hellenist, but to the majority of people familiar with this name, a Hellenist is a classical scholar, this word having no connotation of anything about worship or philosophy at all. Hellenic polytheist is a bit technical and problematic merely for its length, but this author sometimes uses it. Some are using Hellenic Gentile to describe themselves. Gentile comes from the Latin gentilis, a clan or tribe; although the word has come to mean “not Jewish,” this was not its original meaning.
Surely the reader has filled out questionnaires asking you to check off a box identifying your religion, and “pagan” is often one of the choices they offer; I will check that box, since that is the closest description usually offered on these forms. Sometimes, for the sake of clarity, I will even say to someone, “I am pagan.” But usually when I am asked, face-to-face, what my religion is, I simply say that I practice the ancient Greek religion. If they ask if it has a name I say, “Yes, it is called Ællinismόs.” And if someone wants to know more (a rare thing), this is a good opportunity to explain something of our beautiful religion.
 A Chronicle of the Last Pagans by Pierre Chuvin, 1990, Harvard University Press (Cambridge MA and London, England), p. 7.
 Pagans and Christians by Robin Lane Fox, 1986/1987, Knopf (New York), p. 30.
 God Against the Gods by Jonathan Kirsch, 2004, Viking Compass/Penguin (New York), p. 14.
 Pagans and Christians by Robin Lane Fox, 1986/1987, Knopf (New York), pp. 30-31
 Chuvin, p. 8 last paragraph.
 Chuvin, p. 9.
 Classic Encyclopedia Britannica, 11th Edition.
 Kirsch, p. 255.
 Chuvin, p. 7.
The story of the birth of the Gods: Orphic Theogony.
We know the various qualities and characteristics of the Gods based on metaphorical stories: Mythology.
Dictionary of terms related to ancient Greek mythology: Glossary of Hellenic Mythology.
Introduction to the Thæí (the Gods): The Nature of the Gods.
How do we know there are Gods? Experiencing Gods.