For instance you are given the option to be a germanic pagan true to your norse roots, or an anachronistic 8th century unbeliever who doubts the existence of the gods and the supernatural, but even though so many quests involve an alleged conversion to Christianity your character can't legitimately convert to that new faith(something that was so common to germanic pagans ever since their contact with the Cross to the eventual demise of paganism in europe). The northumbrian questline also comes to mind, I see no reason why you can't actually side with Osred and must instead enforce a coup d'etat to ascertain influence in Northumbria and forge an alliance in the region.
I'll be honest with you. I just didn't have time to write that shit. We actually planned to let you side with Osred but it was just me writing the vast majority of this game (with a contractor, Elan, helping out with side quests in Denmark for a few months, and Avonaeon contributing a lot of the random events) and I had to sleep once in a while.
Ultimately, choosing between Osred or Æthelred wouldn't have changed much for the war part of the story - just the name of a quest giver. But we'd have needed a lot more complexity in the dialogue, and as our patch notes attest we had quite enough of that already. So I cut it pretty early on for the sake of my own sanity. An added bonus is a little historical authenticity: Æthelred I actually did usurp Osred II somewhere around 790 AD.