I loved Anansi Boys definitely recommend reading it. Anansi Boys is very different from American Gods but does exist in the same world. I’ve read everything by Neil Gaiman because I just love how that man writes. I think the Beowolf short story is either in a collection of his short stories, but I also think it’s added to new additions of American Gods or at least I think the special edition of America Gods has it, but I might be misremembering.
Have you given The Sandman on Netflix a try? I really enjoyed the job they did on it, and having read the comics I kind of wouldn’t have minded if the added more of the short side stories because I feel they inform the larger main story.