I picked up Funk and Wagnall's Standard Dictionary of Folklore, Mythology and Legend.
It's a 2 volume set from about 1949. It's amazing some of the stuff that is in there.
The books are basically like regular dictionaries (but without pics. haven't seen any yet anyway).
It's got everything! Every nation and country you can think of (even the different American Indian tribes). It even has entries on all the different religions.
It also has info on plants, animals, minerals, symbols, and objects and how they are used by different cultures.
If you're interested in the legends, lore, mythology, or religion of other countries or people, this is a great resource.
The only problem is that it's old - over 50 years old. So its a bit outdated on a few things and its hard to find and can get expensive. I got the original HB 2 volume set. There is a newer softcover version that was released in the 80s but is also hard to find.