While I can't find the specific stories that I wanted, my favorite myths about Odin is his sacrificing his eye to Mimir to gain knowledge as well as hanging himself from Yggdrasil to gain the runes. :I I will do some searches and see if I can find these stories any where but I at least wanted to get this post out here.
Another is the story about the wild hunt! Taken from Timeless Myths:
The Wild Hunt was a popular folklore found in Scandinavian and Germanic myth, as well in later folklore in Britain and northern European countries, which had changed over the centuries.
The group of hunters were variously known as the Furious Host or Raging Host. The hunt usually takes part during winter, where a spectral host of horsemen riding through the stormy sky, with their ghostlike hounds. The chillingly sound of the hunting horn can be heard reverberating through the woods and meadows.
In the Norse myths, the original leader of the hunt was the god Odin, known in Germanic myth as Wodan. Odin rode his eight-legged horse, called Sleipnir. His company of hunters were the Valkyries and the dead warriors who resided with him in Valhalla.
The hunt begins on Winter Nights (October 31) and doesn't end May Eve (April 30) of the following year. These two nights were special, because lights go out on all Nine Worlds and the spirits and goblins are free to roam on the earth's surface. However the height of the Wild Ride falls on the night of midwinter festival, known as Yule (December 21), traditionally the shortest day of the year in Scandinavia and Germany.
I found part of Odin's Rune Song, which is the poem retelling how he gained the runes. I won't post all 27 stanzas, so no fear. Here are the first few:
Wounded I hung on a wind-swept gallows
For nine long nights,
Pierced by a spear, pledged to Odin,
Offered, myself to myself
The wisest know not from whence spring
The roots of that ancient rood.
They gave me no bread,
They gave me no mead,
I looked down;
With a loud cry
I took up runes;
From that tree I fell.
Nine lays of power
I learned from the famous Bolthor, Bestla' s father:
He poured me a draught of precious mead,
Mixed with magic Odrerir.
Waxed and throve well;
Word from word gave words to me,
Deed from deed gave deeds to me.
Runes you will find, and readable staves,
Very strong staves,
Very stout staves,
Staves that Bolthor stained,
Made by mighty powers,
Graven by the prophetic God.
For the Gods by Odin, for the Elves by Dain,
By Dvalin, too, for the Dwarves,
By Asvid for the hateful Giants,
And some I carved myself:
Thund, before man was made, scratched them,
Who rose first, fell thereafter.