Yep, gato has it. From wiki:
Sunday: The name Sunday comes from the Old English sunnandæg, meaning "Day of the Sun". This is a translation of the Latin phrase Dies Solis. English, like most of the Germanic languages, preserves the original pagan/sun associations of the day. Many other European languages, including all of the Romance languages, have changed its name to the equivalent of "the Lord's day" (based on Ecclesiastical Latin Dies Dominica). Compare Spanish Domingo.
Monday: The name Monday comes from the Old English Mōnandæg, meaning "Day of the Moon". This is likely based off of a translation of the Latin name Dies Lunae (cf. Romance language versions of the name, e.g., French Lundi, Spanish, Lunes).
Tuesday: Tuesday comes from the Old English Tiwesdæg, meaning "Tyr's day." Tyr (in Old English, Tiw, Tew or Tiu) was a god of combat and heroic glory in Germanic paganism. The name of the day is based on Latin Dies Martis, "Day of Mars" (the Roman war god); compare French Mardi and Spanish Martes.
Wednesday: This name comes from the Old English Wodnesdæg meaning the day of the Germanic god Woden (Wodan), more commonly known as Odin, who was the highest god in Norse mythology, and a prominent god of the Anglo-Saxons (and other places) in England until about the seventh century. It is based on Latin Dies Mercurii, "Day of Mercury"; compare French Mercredi and Spanish Miércoles. The connection between Mercury and Odin is more strained than the other syncretic connections. The usual explanation is that both Odin and Mercury were considered psychopomps, or leaders of souls, in their respective mythologies. Also, in Old Norse myth, Odin, like Mercury, is associated with poetic and musical inspiration. In German, the day is referred to as mittwoch (mid week).
Thursday: The name Thursday comes from the Old English Þunresdæg, meaning the day of Þunor, commonly known in Modern English as Thor, the Germanic god of thunder. It is based on the Latin Dies Iovis, "Day of Jupiter"; compare French Jeudi and Spanish Jueves. In the Roman pantheon, Jupiter was the chief god, who seized and maintained his power on the basis of his thunderbolt (Fulmen).
Friday: The name Friday comes from the Old English Frigedæg, meaning the day of Frige, the Germanic goddess of beauty, who is a later incarnation of the Norse goddess Frigg, but also potentially connected to the Goddess Freyja. It is based on the Latin Dies Veneris, "Day of Venus"; compare French Vendredi and Spanish Viernes. Venus was the Roman god of beauty, love and sex.
Saturday: Saturday is the only day of the week to retain its Roman origin in English, named after the Roman god Saturn associated with the Titan Cronos, father of Zeus and many Olympians. In Latin it was Dies Saturni, "Day of Saturn"; compare French Samedi and Spanish Sábado, which come from Sambata Dies (Day of the Sabbath).