Thank you for the suggestion, the Penguin Classics collected edition of Icelandic sagas is really a great resource for people interested in the sagas. It has up-to-date, lucid translations, and is relatively widely available and inexpensive. It contains 17 different sagas and tales, including some of the most popular and important like Egils saga and Eyrbyggja saga, as well as both sagas about the voyages to North America.
That said, it is not even close to all of Norse literature. You could compare, for example, The Complete Sagas of the Icelanders published by Leifur Eiriksson Publishing, from which the translations found in the Penguin Classics collection come, which has 49 sagas and tales in over 2,000 pages.
And that’s just the Íslendinga sögur (‘Sagas of the Icelanders’), dealing with early Icelandic settlers. There are many different types of sagas, including fornaldar sögur (‘Legendary sagas’, like Völsunga saga and Hrólfs saga kraka), konunga sögur (‘Kings’ sagas’, like those contained in Heimskringla), samtíðar sögur (‘Contemporary sagas’, like Sturlunga saga – sagas written shortly after the events they describe), Riddara sögur (‘Knights’ sagas’, sometimes translations or reworkings of foreign material like Alexanders saga), and more.
Though the sagas do contain huge amounts of poetry, this is different from the Eddic poems, which are usually almost entirely poetry with only little bits of prose text. Most of the poetry in the sagas is also in skáldic metres, used for court poetry, rather than the looser eddic styles more suitable for long narratives. There are not many mentions of Thor and Odin in the Sagas of the Icelanders (though there are more in the Legendary Sagas).
But even though it is not as exhaustive as you might think considering how big it is (as it’s still tiny in comparison to the outrageously huge body of Icelandic literature), I definitely highly recommend this book to anyone.