American Gods has an intense fantastic imagination in the way it presents Odin as the main character Wednesday, weaving a tapestry of symbolic language from all around the world in its imagined contribution to the American psyche.
Wednesday is very similar to Gandalf in the
Lord of the Rings, with the hat and cloak and staff, all derived from Odin. The myth of Odin was used by Tolkien in creating Gandalf, who falls into the pit of Moria in the battle with the Balrog.
Odin is predicted to die, in the Poetic Edda
Völuspá, by a völva, who tells Odin of numerous events reaching into the far past and into the future, including his own doom. She describes how Odin is slain by the wolf Fenrir at Ragnarök, the subsequent avenging of Odin and death of Fenrir by his son Víðarr, how the world disappears into flames and, yet, how the earth again rises from the sea.
So we would not be surprised if Wednesday might die in
American Gods. Gaiman sticks to the myth to some extent, including the story of Odin hanging for nine days on the world tree Ygdrsil. And indeed Ygdrsil makes an appearance, including with a squirrel providing a tiny cup of water in a walnut and saying Ragnarök.
Julius Caesar and Tacitus thought that Odin was Mercury, in different guise. Mercury, of course, is the Roman analog for the Greek Hermes and the Egyptian Thoth.
American Gods does not include any Judeo-Christian or Greco-Roman Gods in its pantheon. Odin has pride of place, with Gods from Egypt, Africa, Russia and India, in forming a natural pantheon which is at war with the constructed pantheon of western civilization.