As I have mentioned in my reviews in the past, much of what constitutes one pantheon's beliefs originally came from others before it. Empires assimilated new regions by incorporating local traditions while making some changes. In the case of Judeo-Christian mythology, leprechauns are seen as small fairies who collect gold. Mad Sweeney mentions that when the church came to Ireland, it re-imagined the pagan gods into shadows of their former selves.
Mad Sweeney has been aware of his impending death for a long time, but now he hears the banshees call for him. This season has an interesting thread in its characters seeing omens of their death, but being powerless to stop it. The last episode began with “Ride of the Valkyries” and ended with the characters unable to bring Donar to Valhalla. One of the major themes of American Gods is the old gods seeing their obsolescence and fighting to survive.
The majority of Wednesday's focus this season has been on rebuilding his spear. It seems to be an integral part of his plan, as it has take up so much of his attention. Mad Sweeney stashed it in his horde (a hiding place only he can access and where the titular “Treasure of the Sun” is kept), and it now appears to be permanently out of Wednesday's grasp. I am fascinated to see where this takes a wrathful and desperate Odin.