I just finished this yesterday. I read Acts 1, 2 & 5 twice to try and understand them better. Then last night I took a long walk and listened to the Grieg music for inspiration to gather my thoughts. However, I'm still not sure how to react to this play.
I will start with this recommendation. I was a bit lost too with references to Norwegian folklore, nationalism, the German-Danish war of 1864, etc. I had a hard time finding literary commentary on this book on the internet too. I finally found some worthwhile introductions if you type these phrases into the search box at books.google.com:
Peer Gynt. A dramatic poem. - London, Scott o.J. XXII, 287 S.
The Collected Works of Henrik Ibsen: Peer Gynt
The Collected Works also has a few of the Norwegian folk-tales reprinted at the end of the book. I wonder if Peer Gynt would have different meaning if you were to also read Ibsen's earlier play Brand. There appears from the introduction commentary to be intentional contrasts between the plays.
Wikipedia has an article on Norwegian romantic nationalism, but I don't think it really helped me to understand the play any better. I would like to better understand what the Norwegian views toward Christianity in this time period were as I suspect the play satirizes Norwegian religious attitudes too. I think Peer has a half-hearted view toward religion. He takes what he wants when he needs it and discards the rest. There are also several examples where he attempts to make amends by canceling a wrong with a right, e.g. the missionaries versus idols. Or, when he laments on the lack of Christianity among the sailors who won't save the 3 in the icy waters yet he's in the right because he offered money for the other men to jump in and save them.
Hamlet53, I also read that Ibsen intended for the play to be a poem and had not envisioned it acted out, which is why Peer's adventures are varied and occur across the globe. When he was asked to make it shorter, instead of removing Act 4 which would have made it easier to perform, he removed a little from each act. I also read that Act 4 was written after the others, more as an afterthought. I would very much like to see this play acted out on stage now! I think I would enjoy more from the dramatic presentation than the words on a page.