DLTK's Norse Mythology and Viking Legends
Children of Odin
The Children of Odin is a collection of Norse myths suitable for children that are also enjoyable for adults interested in learning more about Viking legends. The collection was written by Padraic Colum in 1920 and I've slightly modified a few of the stories to make them more appropriate for modern children.
The black and white images are drawn by myself and often link to coloring pages if you click on them.
The myths make a bit more sense when you read them from start to finish (rather than picking and choosing them out of order). If you just want a fun myth to read as a "stand alone story", How Thor and Loki Fooled Thrym the Giant is a favorite with kids of all ages (Loki convinces Thor to dress up as a bride, hehe).
The Valkyrie is another interesting Viking legend that can be understood on its own, though it's a more serious story -- it's also an interesting myth because of its small similarities to the fairy tale Sleeping Beauty.
Otherwise, just start reading them in order starting with Far Away and Long Ago and by the end you'll have a pretty good understanding of the characters in Norse mythology.