I'm a big proponent of primary sources, myself.
You can learn quite a bit of Norse mythology in the Eddas, either the younger/prose or the elder/poetic. They're pretty easily available: the Elder Edda, which is harder to comprehend, can be found in translations by Patricia Terry or Lee Hollander, and the Younger Edda, by Snorri Sturluson, can be found in an Everyman Library translation by Anthony Faulkes. Snorri explains a lot of the complex stuff from the Elder Edda in his version, so they're well-read together.
Gods and Myths of Northern Europe, by H.R. Ellis Davidson is also an excellent read, and it's a more general text on mythology and religion.
For more Celtic stuff, someone already mentioned the Mabinogi on the Welsh side, which I've got in a fine edition translated by one Patrick K. Ford. It includes some other medieval Welsh tales as well. On the Irish side, Penguin Classics puts out a volume titled Early Irish Myths and Sagas (bit misleading on that "saga" bit, but hey), translated by Jeffrey Gantz. It's very good, but a lot of the contents are taken from the Tain Bo Cuailnge (The Cattle Raid of the Brown Bull of Cooley), which can be had in an Oxford University Press edition translated by Thomas Kinsella. I -really- enjoyed the Tain, so I recommend it. Especially if you like weird stuff. There's a lot of scatological humor, too, if that's your bag. That's common in various ancient cultures.
If it's Greek you seek (ho ho), well.. there are innumerable resources. However, I recommend Greek Religion and Homo Necans, both by Walter Burkert. Homo Necans (killing man, in Latin), in particular, has -very- interesting stuff about blood sacrifice. On a more mythological side, there's a Penguin Classic edition of Hesiod and Theognis, translated by Dorothea Wender, which has many mythological references. Ovid's Metamorphoses, of course, is very important, though it is more properly described as Greco-Roman. Apollonios Rhodios wrote a text called the Argonautika, which is a 3rd Century BCE treatment of the story of Jason and the Argonauts.
Oh, and how could I forget? Read the plays, there's lots of stuff in there. Aeschylus, Euripedes, Sophocles, Aristophanes.. fine writers, one and all, and readily available.
I also recommend Myths from Mesopotamia, translated by Stephanie Dalley, and Gilgamesh, translated by Herbert Mason.
Uh. I'll stop now.
(Edited to add mention of Greek playwrights)
