Unlike Greek mythology and even Egyptian mythology, the Gods and heroes and lore of northern Europe appear rarely in books aimed at children. This is unfortunate, as Norse mythology is rich with wondrous tales, grand adventure, amazing Gods, and tragic but noble heroes. There are several picture books that I recommend though, as well as chapter books and teen books and a few activity books; there are also some general mythology books which feature good sections on Norse lore. These would all make great additions to the private libraries of Heathen families, or even lending libraries maintained by particular Kindreds.
There are several picture books which the youngest children will enjoy; some retell a single myth while others focus on a specific Deity or hero. First is Gods and Goddesses of the Ancient Norse by Leonard Everett Fisher* which features short, encyclopedic entries on the Deities along with beautiful full-page chalky illustrations, a map, and a pronunciation guide. Iduna and the Magic Apples by Mariana Mayer and Laszlo Gal, which I profiled in a previous column, retells the story of that Goddess's kidnapping and rescue. The Adventures of Thor the Thunder God by Lise Lunge-Larsen (author of the wonderful Gifts From the Gods) and Jim Madsen, is a humorous and exciting collection of that God's most well-known stories, while Shirley Climo and Alexander Koshkin's Stolen Thunder: A Norse Myth focuses on Thor's quest to reclaim his lost hammer from the Frost Giants. Leif the Lucky by Ingri and Edgar Parin d'Aulaire is a biography of the famous explorer, while Sister Bear: A Norse Tale by Jane Yolen and Linda Graves is a folktale featuring a spunky heroine, an adorable dancing bear, and some terrible tattooed trolls.
For those interested in collections of short stories -- which work great as bedtime reading -- Favorite Norse Myths by Mary Pope Osborne and Troy Howell collects fourteen tales (including some lesser-known adventures); it is unfortunately out of print, but copies are readily available online and at your local library. It's worth tracking down just for Howell's stunning paintings.