Reddit mentions of Nordic Gods and Heroes

I strongly urge you to look at Mythology by Edith Hamilton (you can see it here )

Someplace in my apartment, I have a copy of Nordic Gods and Heroes by P. Colum; that was my first introduction to the subject.
Norse Mythology by John Lindow is also excellent.

I very much second the recommendation of Joseph Campbell -- he's written extensively (and very accessibly - laypeople and scholars alike find his work useful and respectable) on myths.

This is pretty comprehensive in terms of major pieces of Norse mythology. But also, American Gods by Neil Gaiman is great for modern stuff.

This is probably a good starting point. It's basically a retranslated telling of the myths from the Eddas. If you want the actual stories from Norse mythology, this should help.

• Volsung, one of the dragon priests is named after a king in Norse mythology.
  
  
• And then the Sigurd guy in Whiterun, shares a name with Sigurd, the grandson of Volsung. His tragedy is said to have occurred shortly before Ragnarok. (At least that's how it was in the Norse Mythology book I read)
  
  
• There's also a giant whom Thor and Loki meet called Skyrmir, but I think the similarity is unrelated.
  
  
• Another similarity that probably is just coincidental is that of Ysmir, and Ymir. Ymir was a giant who was slain by Odin, his brothers, and his father, in a joint effort. The remains of his body were used to make the universe and earth.
  
  If anyone is interested, I just recently wrapped up reading this http://www.amazon.com/Nordic-Gods-Heroes-Padraic-Colum/dp/0486289125 . It's a very easy read, and there are even pretty pictures. But consequently, it does skip out on many other stories. I intend on picking up a more thorough version in the future.