Viking-era Scandinavian culture certainly had an array of supernatural beings that people knew about and many believed existed. A great deal of our understanding about these beliefs is projected into the past and viewed through imperfect lens. The Icelandic sagas were written after the period in question - and most importantly after conversion - so while they provide insight, they must be viewed with source criticism. The problem with these sources are two-fold: they are written by people who were more or less Christian and were detached from the pre-conversion culture and they were written in Iceland which was a removed outpost of North Sea culture, so it did not necessarily reflect what had gone on culturally in the diverse Scandinavian homeland.

A second tool to be used to project backward is the folklore collected in the nineteenth century. Again, this is a flawed source because of the time that had lapsed since the Viking era and because of the process of conversion and then Reformation, both of which affected the folk point of view.

All that said, the broad swath of Northern cultures, from Ireland to Sweden, agree on certain things and this allows for a certain amount of reasonable speculation about what Viking-era Scandinavians regarded as inhabiting the world. Ghosts are practically a given since they are universal. There is always a question as to whether a given culture embraces the idea of ethereal souls or walking corpses, and it seems evident from the sources that the idea of walking corpses were generally assumed to be the form that the dead took when they interacted with the living. And it wasn't pretty.

Also, given the broad swath of cultural agreement - from Ireland to Denmark and Sweden to Iceland - about supernatural beings of nature (variously referred to as fairies, elves, piskies, sidhe, huldrefolk, and depending on the area in Scandinavia - trolls), we can assume that the idea of these entities was very old and shared: the region is unusual in the way it embraced the idea that these supernatural beings lived in communities, as families and villages. Most of Europe looks at its counterpart supernatural beings to be solitary - and when they appear in twos or threes, they act in unison. But Scandinavia shares the idea that its supernatural beings of nature lived in communities, so we can expect that these were part of the Viking-age cadre of supernatural beings. In the nineteenth century, there was considerable diversity in describing these entities: they were consistently dangerous, but some were more or less hideous or attractive. Much depended on the location and the local tradition, so we don't have consensus on the details.

There were likely also supernatural beings that appeared most often alone. The forest women, the spirit in the lake, the spirit in the barn, tend in Scandinavian folklore to act as solitary figures. There is less evidence of these entities existing before conversion, but it is reasonable to imagine that something along those lines existed during that early period.

Scandinavians had a well-established belief that people could transform into animals: men into bears or wolves. This information is not without its flaws and one should not read too much into the Icelandic sagas without a great deal of source criticism, but it seems reasonable to assume that pre-conversion Scandinavians believed some people could transform into animals and that they occasionally did.

The role of giants changed dramatically with conversion. Scandinavian pre-industrial folklore saw them as large entities that helped shape the landscape but that were no longer around. Conversion affected their role. If we are to trust post-conversion medieval documents about pre-conversion stories and religion, the giants played a more epic role with the gods, but there may have been a more local role for the giants as well - placing a large boulder "over there" or doing something along that line.

A classic treatment of Icelandic sources and the strict source criticism needed to evaluate them has recently been translated and offered online: Einar Olafur Sveinsson, The Folk-Stories of Iceland.

I complied a list of ones I see mentioned the most often. There's going to be some wiggle-room here, because a lot of the folklore about them was influenced heavily by Christianity and Romanticism. But this is just a general list to help you get started.

Bækhesten: Similar to the Scottish kelpie, the bækhesten took the form of a beautiful white horse and tried to lure people onto its back. Once someone climbed on, the Bækhesten would drive into the nearest lake or river to drown them.

Changelings: A changeling was an elf baby that was swapped for a human one. The Celtic peoples also believed in this one, though their changelings were usually fairies.

Draugar: The rough Norse equivalent of Revenants, the Draguar were animated undead. They were supposedly created by improper burial or by the dead person having lived an evil life.

Elves: Elves featured in most Germanic cultures. I wish I could tell you that folkloric elves were nothing like the ones in fantasy, but the truth is that most information on folkloric and mythological elves is extremely vague.
In the Prose Edda, Snorri Sturluson claimed there were two different types: Light Elves and Dark Elves, but he didn't elaborate on what the difference between them was. There is some thought that Snorri invented this distinction as a result of his Christianity and the pagan Norse didn't have this difference, but it's hard to say.
In most folklore, elves are generally supposed to have been exceptionally beautiful with magical powers, but their favorite activities seem to have been causing sickness and seducing people. You can see this pretty clearly in pre-modern ballads like Elveskud and Lady Isabel and the Elf Knight.
It's also not clear what the differences (if any) there were between elves, dwarves, and the Huldra.

Kraken: A huge sea monster. Unlike all the other creatures in the list, though, the Kraken is quite real and is now known as the Giant Squid.

Lindworm: A creature somewhere between a giant serpent and a dragon. The Midgard Serpent was the most famous lindworm, but there were others.

Mare: Found in all Germanic cultures, the mare was an evil spirit who caused nightmares.

Neck: Known as Näkki in Finnish, Nix or Nixe in German, Nøkk in Norwegian, and Näck in Sweden, a Neck was a river merman or mermaid. There were generally imagined as male, though the German Nixe was typically female. Like the Greek sirens, what a Neck most liked to do was play beautiful music to lure people into drown. The male Nøkk, Näck, and Näkki's favorite victims were women and children, though the (female) Nixe preferred men.

Selkies: Shapeshifters who could assume the shape of seals in the water. There were supposedly both male and female selkies and in their human forms, they were supposed to have been extremely good-looking.