This is the second novel Neil Gaiman has written, that is directly about the gods. The first book was American Gods. That dealt with what would happen to all the old gods when people brought them to America (by believing in them) then slowly stopped believing.
Douglas Adams dealth with exactly the same issue (but in a far different way!) in Long Dark Tea Time of the Soul. (That book is definitely worth reading, and is far less depressing than American Gods.)(Don't get me wrong - American Gods is incredibly good. But, people that you like die in the book.) Tea Time deals strictly with the Norse gods. American Gods runs across incredibly broad myth systems, and is fun to read just to see if you can figure out which god and which mythology Gaiman is talking about! (Mr. Nancy is our beloved Anansi the Spider. How about Mr. Wednesday?)