Wednesday comes from the Middle English Wednes Dei, which comes from the Old English Wēdnes dæg. This was WODEN's DAY.
Woden is an old god of the Anglo-Saxons, worshipped well into the 7th century and known for wandering, much like the planet Mercury is the planet with the most apparent motion from Earth. Mercury hauls ass. When the Christians came through trying to re-program all the "pagans," they created a baptismal vow that sought to denigrate ol' Woden.
Woden is mentioned in an Old Saxon Baptismal vow in Vatican Codex pal. 577 along with Thunear (Thor) and Saxnōt. The 8th or 9th century vow, intended for Christianizing pagans, is recorded as:
ec forsacho allum dioboles uuercum and uuordum, Thunaer ende Uuöden ende Saxnote ende allum them unholdum the hira genötas sint
Which translates to:
I renounce all the words and works of the devil, Thunear, Wōden and Saxnōt, and all those fiends that are their associates. - ( "Wōden." Wikipedia )
Guilt by association. The Christian's oldest trick.
The old Norse version of this was Odin's Day, or Oðinsdagr. This is an early translation of the Latin dies Mercurii, or Mercury's Day. The god Woden and the planet Mercury were associated as far back as the days of Roman Senator Tacitus, who was also a historian. He lived between the middle of the 1st and the 2nd centuries.
In the Romance languages, the day is referred to as Mercury's Day. In Spanish it is Miercoles.