Odin is name-checked, along with a bunch of gods from other cultures, in Walt Whitman's Song of Myself.
The character of Gandalf in The Hobbit and The Lord of the Rings was inspired by Odin in his Wanderer guise. J.R.R. Tolkien described the character as an "Odinic wanderer" (source: J.R.R. Tolkien, Letters, no. 107).
Marvel Comics adds Odin to the Marvel universe. He shows up in the Thor and Journey Into Mystery series. He makes a great superhero.
Neil Gaiman's Sandman graphic novels include plenty of Norse-inspired characters, including Odin, who mostly wears his wanderer disguise.
In the novel American Gods, by Neil Gaiman, Odin appears as a character called Mr. Wednesday (Wednesday is Odin's special day).
Odin shows up as an angry dad in the movie Thor. He's cast his son, Thor, out of Asgard for misbehaving.