This story can be found in the Poetic Edda in Baldrs draumar and Voluspį and in the Prose Edda.
This story begins when Balder had some terrible dreams. In these dreams Balder saw his own death. The Ęsir were gathered and Balder shared his dreams with them. When the Ęsir heard these dreams they took counsel and it was decided to seek protection for Balder. Frigg went out and gathered an oath from every peril. She received an oath from fire and water, iron and all kinds of metals, stones, earth, trees, ailments, beasts, birds, poison and serpants that they would not harm Balder.
When this had been done and put to the test, the Ęsir would amuse themselves by striking at Balder with all manner of weapons. Some threw darts, others struck at him and still others threw stones. No matter what was done, Balder remained free from harm. When Loki saw this it upset him. He went disguised as a woman to visit Frigg. Frigg asked this woman if she knew what the Ęsir were doing at the assembly. Loki told her all the Ęsir were striking at Balder and that he was not being hurt. Frigg said that neither weapons nor trees would injure Balder, as she had taken an oath from them all. The woman (Loki) asked if everything had sworn an oath to not harm Balder. Frigg responded that all things save one had given the oath. She said west of Valhalla there grows a little bush known as mistletoe. She went on to say that she thought it unable to bring harm. After hearing this the woman (Loki) disappeared.
Loki took hold of the mistletoe and carried it to the assembly. There he saw all the Ęsir striking at Balder, save one. This one was Hodur, Balder's brother. Loki asked Hodur why he wasn't showing Balder honor and throwing darts at him. Hodur replied that it was because he was blind and he had no weapon. Loki said I will show you where he is standing and you can throw this twig at him. Hodur took the mistletoe and, with Loki's guidance, aimed at Balder. Hodur then drew back the mistletoe and flung it at Balder. The dart pierced Balder and he fell to the ground, dead.
When Balder had fallen dead, the Ęsir were struck dumb. They were unable to move a finger to lift him up. They looked at one another and all believed the same person responsible. They would have slain Hodur where he stood, but ancient laws forbade the shedding of blood in Idavoll. Hodur left that place, alone and weeping.
When the Ęsir did try to speak, they wept, and none could tell the others his grief in words. Odhinn was the most affected by this disaster, for he best understood what a loss the death of Balder was for the Ęsir. When the Ęsir had recovered Frigg was the first to speak. She asked which of the Ęsir wished to win her affection and favour by journeying to Hel to offer Hel a ransom to allow Balder to return home to Asgard.
Hermod stepped foward and volunteered to journey to Hel to attempt to ransom Balder back to Asgard. Sleipnir was brought foward and Hermod mounted that steed and galloped away.
Balder's body was carried by the Ęsir to the shore of the sea and was laid upon Ringhorn. The gods wished to launch the ship and build Balder's funeral pyre upon it, but they were unable to move the ship. They sent out a call to Jotunheim for the ogress Hyrrokkin. When she arrived, riding a wolf and using vipers as reins, she jumped off her steed and Odhinn called for four berserkers to guard it. They were unable to hold it until they struck it down. Then Hyrrokkin went to the prow of Ringhorn and at the first shove launched it into the sea.
Then Balder's body was carried out on to the ship, and when Nanna saw that, her heart broke from the grief and she died. Her body was carried on to the pyre and the pyre was set aflame. Thor stepped foward and was consecrating the funeral with Mjollnir when a dwarf, Lit, ran foward. Thor, being hot-tempered and extremely saddened by Balder's death, kicked the dwarf into the fire where he burned to ashes along with Balder and Nanna.
All manner of people came to the funeral. Odhinn was accompanied by Frigg, the Valkyries and his ravens. Freyr drove in a chariot drawn by Gullinbrusti, Heimdall rode Gulltop, and Freya arrived behind her cats. A great crowd of ogres and giants also came to witness the pyre for Balder. Odhinn came foward and laid Draupnir upon the pyre.
While these things were taking place, Hermod was riding down to Hel. For nine nights he rode until he came to the river Gjoll and rode across its bridge. Modgud is the guardian of that bridge and she asked him his name and family and said that the day before five troops of dead men had ridden over the bridge, but the bridge resounded as much under him alone, and he didn't look like a man who has died. She asked him why he was riding on the road to Hel. Hermod replied he was riding to Hel to seek for Balder and asked if she had seen anything of him on his way there. She replied that Balder had ridden past over the bridge of the Gjoll.
Hermod rode on until he came to the gates of Hel. Hermod dismounted, tightened the stirrups on Sleipnir, remounted and dug his spurs. Sleipnir jupmed over the gate with such energy that he came no where near the gate. Hermod then rode up to Hel's hall and dismounted. Inside, he saw Balder sitting at the high seat there. Hermod stayed that night in Hel and in the morning he asked Hel if Balder might be allowed to ride home with him. Hermod told Hel how all the Ęsir wept for Balder and Hel said that this test should be made as to whether Balder was loved as much as people said. If all things in the world, both dead or alive, would weep for Balder the he would be allowed to return to the Ęsir, but if anyone objected or refused to weep he would have to remain in Hel. Hermod stood up and Balder led him out of the hall. Balder took off Draupnir and sent it back to Odhinn in remembrance. Hermod rode back to Asgard and related all that had transpired.
Upon hearing his message the Ęsir sent messengers throughout the worlds to ask for tears to weep Balder out of Hel. Everywhere they went, the messengers were met with with tears--men and beasts, stones and trees, all metals and even the earth--all these things wept for Balder. When the messengers were returning from their journey they met with a giantess, Thokk, sitting in a cave. They asked her to weep for Balder so that he would be released from Hel. Thokk answered, "Thokk will weep dry tears at Balder's embarkation; the oldfellow's son was no use to me alive or dead, let Hel hold what she has."
It is thought that the giantess was Loki in disguise. Because Thokk refused to weep, Balder was resigned to remain in Hel and he will remain there until the time of Ragnarok.