Call me dense but I never completely understood the exact nature of the gods in the novel. Spoilers ahead:
I take it they derived their power, youth, and life from being worshiped or believed in, but never understood how they came to be. Did they just pop into existence or were they born as human and sort of like demigods? How could there be various versions of the gods around the place? At the end, Shadow meets another Wednesday/Odin. Did this one exist alongside the other Wednesday or did he pop up after his death?