Edit: Since this question was too broad, I'll center it specifically in Norse mythology (Eddas and Sagas) and only in episodes or motifs in the Silmarillion. Not in the general conception but just in particular episodes, for example like the ones listed below, from the Volsung Saga:
1)The hero Sigmund being trapped with his nine brothers, who are eaten one by one by a wolf each night (Beren in Tol-in-Gaurhoth). 2)The dwarf Andvari casting a curse on his treasure when they take it away (Mim cursing the Nauglamir when Hurin takes it away). 3)The hero Sigurd slaying a dragon near a river, impaling him in the belly (Turin killing Glaurung).
Is there anything else that Tolkien transformed directly from Norse myths?