Day by Day-rivations.
(I was curious...and if you are too, read on)

The Greeks named them for the sun, the moon and the five known planets, which were in turn named after the gods Ares, Hermes, Zeus, Aphrodite, and Cronus.
They called the days of the week the Theon hemerai "days of the Gods".
The Romans substituted their equivalent gods for the Greek gods, Mars, Mercury, Jove (Jupiter), Venus, and Saturn. (The two pantheons are very similar) But for contemporary English purposes, the source is Germanic with roughly similar gods for the Roman gods: Tiu (Twia), Woden, Thor, Freya (Fria), plus Sun, Moon and Saturn.

Sun's Day

Middle English sone(n)day or sun(nen)day
Old English sunnandæg "day of the sun"
Germanic sunnon-dagaz "day of the sun"
Latin dies solis "day of the sun"
Ancient Greek hemera heli(o)u, "day of the sun"

Moon's Day

Middle English monday or mone(n)day

Old English mon(an)dæg "day of the moon"  Latin dies lunae "day of the moon"

Ancient Greek hemera selenes "day of the moon"

Tiu's Day
Middle English tiwesday or tewesday
Old English tiwesdæg "Tiw's (Tiu's) day"
Latin dies Martis "day of Mars"
Ancient Greek hemera Areos "day of Ares"

Woden's Day
Middle English wodnesday, wednesday, or wednesdai
Old English wodnesdæg "Woden's day"
Latin dies Mercurii "day of Mercury"

Thor's Day
Middle English thur(e)sday
Old English thursdæg
Old Norse thorsdagr "Thor's day"
Old English thunresdæg "thunder's day"
Latin dies Jovis "day of Jupiter"

Freya's Day

Middle English fridai
Old English frigedæg "Freya's day"
composed of Frige (genetive singular of Freo) + dæg "day" (most likely)
Germanic frije-dagaz "Freya's (or Frigg's) day"
Latin dies Veneris "Venus's day"
Ancient Greek hemera Aphrodites "day of Aphrodite"

Saturn's Day
Middle English saterday
Old English sæter(nes)dæg "Saturn's day"
Latin dies Saturni "day of Saturn"
Ancient Greek hemera Khronu "day of Cronus"

Sources:
http://www.crowl.org/lawrence/time/days.html
William Morris, editor, The American Heritage Dictionary of the English Language, New College Edition, Houghton Mifflin Company, Boston, 1976

Webster's Encyclopedic Unabridged Dictionary of the English Language, Portland House, New York, 1989
William Matthew O'Neil, Time and the Calendars, Sydney University Press, 1975