According to the Oxford Dictionary of Word Origins, the names for the days of our week (along with so many other things) are based in ancient myth. The ancient Germanic god Tiw is the source of Tuesday. When Germanic peoples came into contact with the Romans they realized that their god Tiw was similar to Mars, the Roman god of war whose day was the third of the week (and who appears in the forms such as the French Mardi), and started to call that day “Tiw’s Day” (Tuesday!).
Other days of the week were formed in a similar way, with Wednesday (that particularly puzzling formation of letters whose usual pronunciation has no apparent logic attached) is derived from Woden, another major Anglo-Saxon deity. Woden was the supreme god of the German and Scandanavian people, who again parallels another Roman god: Mercury. Thursday is Thor’s Day, and Friday is Freya’s Day, the goddess of love and fertility.