More on the humanities than the history side, Lewis Hyde's Trickster Makes This World is quite excellent. An analysis of various trickster characters.
There's some neat historical stuff in there as well, like the notion that Hermes joining the Olympian Pantheon was paralleling the incorporation of the merchant class into Greek society, something which conceivably happened around the time the Homeric Hymn to Hermes was composed.
Lots more in there too, figures like the Native American Coyote get plenty of coverage too.