Balder entered the Marvel universe in 1962 in the Journey Into Mystery comics. He continued to pop up in the Thor comics. He's so brave that his nickname is "The Brave," and he's a fantastic swordsman.
Neil Gaiman's novel American Gods includes lots of gods as characters, including Loki and Odin. Balder may be the character called Shadow.
In Too Human, an Xbox 360 game, you get to play Balder (called Baldur) and fight against Loki and his army of machines.
Going Bovine is a young adult novel about a teenager named Cameron suffering from mad cow disease. Among other adventures, Cameron must rescue Balder, who has been cursed into the form of a yard gnome.