Dreams shape the world
A god's relationship to the world, even a world in which he was walking, was about as emotionally connected as that of a computer gamer playing with knowledge of the overall shape of the game and armed with a complete set of cheat codes.
'American Gods' was designed to be, if not open-ended, at least a trilogy kind of shape, so there's definitely one more book, probably another couple of books there to get written.
People take on the shapes of the songs and the stories that surround them, especially if they don't have their own song.