General encyclopedias are an important resource, of course, but in addition to those there are the thorough and easy-to-use seven-volume Oxford Encyclopedia of Ancient Greece and Rome, edited by Michael Gagarin and Elaine Fantham, and the scholarly Oxford Classical Dictionary (OCD), now in its fourth edition, edited by Simon Hornblower, Antony Spawforth, and Esther Eidinow. More portable than the OCD but still including detailed information is The Oxford Dictionary of Classical Myth and Religion, edited by Simon Price and Emily Kearns. Another good reference work for the general reader is William Hansen’s Classical Mythology: A Guide to the Mythical World of the Greeks and Romans, which has substantial prefatory material on the nature of myths, then an alphabetical listing and discussion of gods, characters, and themes. Hansen does not include listings for many of the minor figures.
The Oxford Encyclopedia of Ancient Greece and Rome by 
The Oxford Dictionary of Classical Myth and Religion by 
