The most complete Celtic mythology to survive is that of Ireland. Even this has suffered a considerable distortion by being recorded by Christian monks who were understandably hostile to the belief system they were recording. The major books dealing with these subjects are the Ulster Cycle including The Tain (The Cattle-Raid of Cooley) and Mac DaTho's Pig.

The Irish legendary history records the invasion of Ireland of successive peoples incluidng the Nemed, Partholon and Fir Bolg. It also records the people called Tuatha de Danaan (The Tribe of the Godess Dana) who have been interpreted as being in origin the pre-Christian gods of the Celts. These gods dwindled in later folk-tales to become the Sidhe of the Hollow Hills - an immortal fey folk who I think were instrumental in Tolkien's conception of the Elves. The legends record the mighty wars between the Tuatha and a monstrous race called the Fomoirans or Fhoi-Myore (Sp?) The leaders of the Fomoirans included Balor who had one eye whose gaze could kill (a parallel with Sauron?). Other instances could be drawn of similarities between the Irish legends and Tolkien's work though on the whole the connections are not particularly close - influence almost undoubtedly - a direct derivation certainly not.