The gloves are ordinary gardening gloves painted silver. The collar part is angled flashing of the type used around toilet vent pipes on a sloped roof.
Sheila Allen (nee Matthews), who plays Brynhilda, worked with producer Irwin Allen on many of his science fiction and disaster productions. The two became close and were married from 1975 until his death in 1991.
The extended index and little finger that Thor and Will used on each other is known as the "Sign of the Horns," which is used in several cultures. In modern times, it's often used by those listening to heavy metal.
This episode seems to suggest that aliens could have shaped some of the great mythologies of Earth, in this case, Norse gods. However, this is done from a comedic standpoint, as this was the direction that the second season had taken.
In the opening teaser where some of the characters are performing a play, Penny complains that Dr Smith has rewritten the play to give himself all the best lines. This is precisely what Jonathan Harris did in real life.