Interesting topic this! But to be honest, I know too little about my own history (myhology is maybe a better word). I read somewhere that it's strange that people from Scandinavia know more about Greek and Roman mythology than the Norse. I totally agree and this is the case with me, unfortunately.
But Rune told me earlier about his plans to start this thread and after the discussion about Gandalf's name in a thread forgotten by me for the moment, I looked up Volsung Saga on the net and started reading. Alas, there's too little time for me to read what I want to right now. I have to study most of my free time. Therefore I've only read the first 10 chapters of the story, but I have already found some interesting things.
The first one was the sword stuck in the tree trunk in chapter III. Then the man worthy of the sword drew it out of the trunk without an effort, while others had tried thay best without moving it one inch. This made me think of King Arthur and Excalibur. The connection between old Norse tales and those of England becomes obvious here. Interesting as bot the Norse and the Old English tales where of great interest to Tolkien.
The other thing i noticed is in chapter V, where ten brothers are chained out in the wood and an evil she-wolf eats them one after an other, one per night. This story is so close to what happened Beren, Finrod Felagund and their ten companions in Tol-in-Gaurhoth where they, as you probably know, was cast into a deep dungeon and a werewolf came to tham each night and devoured one of them. It was a different outcome in these two cases and there was different reasons for Saurons (revealing who was Felagund/Beren) and King Siggeir (to punish the brothers) but the similarities are striking. For me an obvious example of things Tolkien got from Norse Mythology.
Maybe I'll be back for more if I have time to read more, but for now this is all I can contribute with.
P.S.
Here's a site containing the Volsung Saga, the Kalevala, the Younger and Elder Edda, Boewulf etc. Maybe it's not better than those presented by Rune but anyway...