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The main ones that come to my mind are Gene Wolfe's Soldier series: Soldier of the Mist and Soldier of Arete (Greek mythology) and Soldier of Sidon (Egyptian/African mythology). I liked the first two especially, although I probably would have got more out of them if my knowledge of the history was better. (But I am getting used to the feeling that there was more going on than I could pick up on when reading Gene Wolfe).
Another two I loved were C. J. Cherryh's Rusulka (Russian folklore) and Faery Moon (Celtic folklore). These are not so much about gods or historical/mythological events, but more fantasy with a strong basis in folklore.
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