A Swedish ballad known as “Proud mister Alf” contains a passage where a man is visited by Odin. Read it here.

This ballad is similar to parts of the Icelandic saga Hálfs saga ok Hálfsrekka which you can read here.

There Faroese version is here.

This paper discuss this type of ballad and it’s origins. It actually argues that the the Swedish and Iceland version have a separate origin

Additional discussion.