Mat and Odin: Mat has many of the attributes of Odin - wide brimmed hat, a spear with ravens drawn on it which refers to "Thought" and "Memory" (the names of Odin's ravens) and will in the future almost certainly lose an eye. Also, Odin agreed to be hung from Yggdrasill in order to gain wisdom and power - a definite parallel to Mat being hung from the Tree o' Life in Rhuidean.
Heimdall's Horn: Heimdall's job was to guard the Rainbow bridge into Asgard against the Giants. During the Last Battle (Ragnarok), he was to blow the horn Gjall to signal the arrayed gods and dead heroes that it was time to fight. cf. Horn of Valere. Granted, there are differences - the Heroes are bound to the Horn and not to a specific cause, and they live in T'A'R rather than the afterlife as such (where they'd fight all day, cutting each other to pieces, then get healed at day's end. Always got a kick out of that - sounds like a real heavenly afterlife to me), but the concept of dead heroes waiting around for the final battle stays the same.
Rand and Tyr: Tyr was a Norse god of war and of justice. This is a parallel with Rand bringing strife to Randland, and with his concurrent attempts to rule justly and by the rule of law. (Note: Tyr is not connected to legality as a maker of peace or a bringer to justice, but more as the embodiment of laws as power, of the fight that is fought in court instead on the battlefield. The god of justice in the Norse pantheon is Forsete, of which next to nothing is known. [Karl-Johan Norén]) Tyr's arm was snarfled off by the monstrous wolf Fenrir (Perrin?) when the gods chained him. (The gods thus defeated one of their greatest enemies, at the loss of one of their greatest assets, Tyr's right (fighting) hand.) If this parallel is valid, then this could be evidence that Rand will lose his hand-- RJ said at a signing in Atlanta that he deliberately made Mat like Odin and Rand like Tyr. Furthermore, Tyr offered to put his hand in Fenrir's mouth as an assurance that the chains would be removed. Hence, it was a willing sacrifice. This may be analogous to Rand sacrificing his life or body parts at Tarmon Gai'don (or before).
Perrin and Thor: Karl-Johan Norén notes: "Even though Perrin does not share any attribute with Thor other than his strength, his beard and the hammer, their roles and personalities are remarkably similar. Both are mostly connected to the common man, both have a good head but are slow to use it, and both are terrible in their anger, though Thor is much [quicker to lose] it than Perrin. Perrin's hammer is a symbol for peace and building, but this trait is also present in Thor and Mjolnir, even though it is not readily present in the myths."
Tuon and Freyja: Tuon's personal sigil is "an ancient war-cart being driven by two lions." The Titaness Rhea, wife of Chronus and mother of Zeus, was described as driving a chariot being driven by lions. Karl-Johan Norén mentions that the Norse Goddess Freyja was also known to drive a war-cart driven by cats, and further was said to have been a lover of Odin. There are attributes of Odin, mostly the fact that he traded an eye to gain wisdom and insight, which are found in Mat, so this meshes nicely with Tuon filling the Freyja role. Additionally, Freyja was known to have a fondness for jewelry (one of her names was Menglöd - "fond of necklaces" ); Tuon is always described as adorned with gems and jewelry. Lastly, both Rhea and Freyja were fertility goddesses, and as such were linked to the moon and its cycle. Tuon's title "Daughter of the Nine Moons" can be interpreted as referring to the nine months of pregnancy, as well as matching, generally, the symbolic tie between a woman's fertility and the moon.