The Dialogue Concerning Natural Religion begins with a discussion of dialogue form itself. Our narrator, Pamphilus, is about to relate a fascinating conversation he overheard between his teacher, Cleanthes, and two of his teacher's friends, Demea and Philo. Before launching into the retelling, Pamphilus reflects a while on the topic of conversation—the possibility of natural religion (that is, of a religion based on reason rather than on revelation)—is so well-suited to dialogue form. Usually, he says, dialogue form hinders true learning by preventing order, brevity, and precision. There are, however, three sorts of topics that make dialogue form preferable to a pure analytic form. Matters of fact that are so obvious that they cannot be disputed, but that are so important that they cannot be discussed too often, are best put in dialogue form because in that way they are made more interesting and can withstand constant repetition. Also, philosophical questions which are so difficult and obscure that human reason is incapable of answering them definitively, but which human fascination makes difficult to leave alone are best treated in dialogue form because this form does not require us to give any definitive answers, but rather allows us to continually explore the question. The topic of natural religion, he tells us, has all of these characteristics. Nothing is so obvious as the fact that God exists; nothing is more important than this truth; and nothing is more difficult to grasp than God's nature (which includes his attributes, his decrees, and his plan of providence). Dialogue form then, is the only proper way in which to treat this topic.
After this introduction, Pamphilus begins to relate the conversation between the three learned men. The three characters, it becomes obvious from the very start, represent three very different theological positions. Cleanthes is an empirical theist; that is, he believes that it is possible to come to an understanding of God's existence and nature by inferring it from the natural world. In other words, he thinks that by looking at the world, we can gather evidence that will allow us to justifiably draw conclusions about what God is really like. He is the only one who clearly and adamantly believes in the possibility of natural religion (that is, in the possibility of grounding religious belief in reason).
Demea, the traditional, orthodox Christian seems to be ambivalent toward the idea of reason-based faith. He is not wholly against the idea, but he is not wholly comfortable with it either. Furthermore, he is convinced that if there is any possible ground for faith in reason, it is not through the sort of empirical reasoning that Cleanthes urges. Instead, any rational grounding for faith is going to come from the certain and stable a priori arguments that use pure reason to come to indubitable conclusions. He seems to truly sympathize with fideism, which asserts that religious belief cannot be grounded in reason, but must be grounded in pure and irrational faith.
Philo is the only character who shows no tendency toward natural religion. Philo, introduced to us by Pamphilus as a philosophical skeptic, is adamant in his claim that reason cannot get us to an understanding of God's nature. It is Philo's arguments against Cleanthes' empirical theism that comprise the main theme of the Dialogues.
In addition to the advantages Pamphilus cites, dialogue form also has another advantage: it allows the author to mask his true opinion. Hume seems to have made the most of this feature of dialogue. Though Philo often seen as Hume's mouthpiece, it is never wholly obvious when Hume does and does not agree with something Philo says. It is almost certainly false to claim that Hume would assent to everything Philo asserts, and it seems almost as obviously false to claim that he would disagree with everything said by the other two.
Choosing Pamphilus as the narrator of the dialogue (rather than, for instance, allowing us to directly listen in on the dialogue itself) makes it even harder to tell where Hume's sympathies lie. Pamphilus introduces each of the characters, gives a running commentary throughout the conversation, and, finally, of declares the dialogue's victor. Pamphilus is probably not a completely reliable narrator, since he is Cleanthes's student, and so it is important not to immediately believe everything that he says. For instance, he says that Cleanthes has an "accurate philosophical turn," whereas Philo is a "careless skeptic". In the dialogue, though, it actually seems to be Cleanthes who is careless and Philo who is staggeringly methodical and accurate. His characterization of Demea's orthodoxy as "rigid and inflexible" might also be a little too harsh.
Hume had good reason to want to place as many layers between himself and his readers. His reputation as an atheist plagued him throughout his entire adult life, made it impossible for him to obtain a university post, and even lead to a close brush with excommunication. He was so afraid of his powerful religious enemies, in fact, that he suppressed the Dialogues Concerning Natural Religion for twenty five years, waiting until he was on his deathbed to begin plans for publication. (And even these plans fell through due to fear of recrimination. Hume's friend Adam Smith backed out of his tentative promise to publish the work, and it was not until Hume's nephew decided to have the work published three years later that it was finally made public.)
Given Hume's use of dialogue, it is not a trivial matter to discern his true opinion on the many matters that come up for discussion. One such matter, which is first mentioned in the introduction but is then repeated by all four characters several times throughout the book, is the claim that God's existence is indubitable. That God exists, the characters affirm repeatedly, is so obvious that it is not even up for discussion; the only interesting point of discussion concerns God's nature, not his being. If Hume actually believed this, his reputation as an atheist seems rather undeserved. In addition, he himself seems to have contradicted this claim in several of his other writings. This question further shows that it is important to be aware that one should constantly ask not only what the three characters are saying but what Hume himself believed.