Despite the convenience of the Internet, you can't really beat a good book for this particular subject.
For example, I've had this excellent book in my possession all of my life (my parent's bought it in the 1970's) and it has been one of my favourite books to pick up and delve into at random intervals when I was child, teenager and adult.
http://www.amazon.co.uk/FOLKLORE-LEGENDS-BRITAIN-Readers-Association/dp/B000RT1H5G/ref=sr_1_2?s=books&ie=UTF8&qid=1350764318&sr=1-2
It's a great book for British mythology and folklore (and a smattering of adopted Norse), but it may be too expensive to buy yourself as it's pretty old and as far as I know, is only available as quite a substantial hardback.
However, your should be able to get it from your local library, or they should be able to order it or you.
Off the top of my head, this is the only book I have personal experience with and can recommend. The Amazon reviews for this book explain why it's such a good book, so in theory you should look for similar types of books on Norse, Native American and Mexican mythology that have similar recommendations from readers.
Amazon would be my first stop for sourcing the books and reading their reviews, then I would try and order the recommended books from my local library.