The Penguin Book Of Norse Myths is a cracker if that's your bag.

Avoid Saxo Grammaticus (really) because he made the Norse gods into men for Xtian propoganda. It is interesting to read once you've read Snorri's version though, which is pretty thorough and as original as you can get.

Later on you may want to get heavy with Robert Graves' "The White Goddess" and if you can find it "Christ As King".

Then for real entertainment there's Frazer's "The Golden Bough". A very much slagged off book, because he really does make some dodgey conclusions, but as a fountain of ancient and modern folklore/religious practices it's wonderful. You just have to ignore him calling everyone who isn't European and wearing a suit 'savages' :-)