Woden was an Anglo-Saxon god associated with both fury and poetic inspiration. He also had a career in curing horses and carrying off the dead, and Wednesday is his day.
Woden's day has gone through various spellings—wodnesdaeg, Weodnesdei, Wenysday, wonysday, Weddinsday—but even though Shakespeare tried to match pronunciation with his very reasonable "Wensday," it didn't stick. Woden got to keep his 'd' and his day.
For more weirdly spelled words, read this: 11 Weirdly Spelled Words—And How They Got That Way.