There are a lot of names already mentioned that I would second; Black Peter/Krampus (which could be a mantle someone else wears), Surtr (I'm really more familiar with the Marvel version, how different is he?) , the Nuckalavee (never heard of it but the pictures were freaky and the description made it sound like something I would enjoy seeing Harry freak out about dealing with), Athena (absolutely, especially if the Parasite/Lash thing plays out in anything like her birth from Zeus's head), Coyote, Pele (which would hopefully finally get us that Murphy/ Kincaid Hawaii story Jim has teased us with since Dead Beat), that weird Brazilian fairy with the backwards feet, Baba Yaga (or just Mother Winter in Baba Yaga mantle mode), Tiamat (she has a page in the Monster Manual and a Saturday morning cartoon for a reason, right?) and Thor (whether or not my WAG of him being Hendricks is true I figure his presence has to be felt sooner or later with Vadderung showing up so much)

I'd also like to see Ananzi, since he's the original Spider-man and Harry is a follower of the Tao of Peter Parker. I know Neil Gaiman has used him fairly promiminently but so what? You could have said the same thing about Odin but Donar Vadderung is no Mr. Wednsday. Although if Ananzi, Coyote, and Loki show up we might be overloaded on tricksters to the point where Harry's head explodes. Conversely if you had Ananzi and Athena appear at the same time that could be interesting given her feelings for spiders... unless Ananzi's wife is one of Athena's mantles.

Whatever happens and whoever appears I'm sure it will continue to provide additional opportunities for the characters who star in the series; Harry, Murphy, Molly, Thomas, Marcone, Toot-Toot, Mouse; to continue having crowning moments of awesomeness as they adapt and overcome it all. Which I can't wait to see.

Although the goodness aspect of wielding Mjolnir is a Marvel Comics thing I remember from reading actual Norse myths that only someone as strong as Thor or Odin could effectivly use the hammer; additionally Thor had to wear his iron gauntlet to even hold it because of the short handle.

The one thing I would add is some kind of thunder theme; didn't the Vikings believe that thunder was the sound of Thor cracking giant heads with Mjolnir. And if you want to get really crazy you could include some form of lightning evocation to make it really fun.

For what its worth I have a very similiar concept I'm discussing with my GM, a young Warden in Texas (because I'm a Texan) who carries a pair of spell casting revolvers he uses as foci for his evocation. I haven't been to New Mexico in forever but I can't imagine the gun laws are much different there than they are here; while people don;t walk around with gun belts strapped to their hip anymore you can still walk around armed almost anywhere. I had a buddy in college who had carried concealed since he was in high school and kept a gun in a boot holster which he even carried to class (in College, not high school.  No concealed handguns in high school, legally)

As for magic causing gun failure.... firstly when was the last time Harry's 44 failed? secondly the rule of thumb is anything made before WWII is pretty reliable. It's why Harry should drop the revolver and start carrying a Colt 1911. A revolver actually created in the old west should almost never fail. And if you are looking at actual 19th century revolvers I recommend the LeMat.

http://www.civilwar.si.edu/weapons_lemat.html

It's a revolver and a shotgun. at the same time. How awesome is that?