When Fi is guessing Bricriu's name, Bricriu gives her the hint his name is not Rumpelstiltskin.
This a reference to the well-known fairy tale about a dwarf who spins straw into gold for a girl in exchange for her first-born child. After the birth of the child the dwarf returns to claim it. The girl begs to keep her child and the dwarf agrees to give up his claim if, and only if, she can guess his name. She does and Rumpelstiltskin is never seen again.
The character of the Will O' The Wisp returns in the season 2 episode "Destiny", where he possesses the body of Molly.