Athena, a Greek goddess of warfare. Contrasting with Ares, a god of warfare who was more into war for the inevitable bloodshed, Athena was more related to strategy and heroism. She is also a goddess of wisdom, being the daughter of Metis, aka cunning itself (well… kind of a daughter). Being a patron of both war and wisdom meant she was a creator of technology, teaching humans how to use war chariots, for example. She joined The Trojan War to help the mortal Diomedes to stick a spear in Ares, driving him out of battle. One of the epithets for Athena was Promachos, or "she who fights in the front," possibly the Ur-Example of the Lady of War.
Odysseus the Cunning (a favorite of Athena herself), Perseus (another mortal favored by Athena), the Fates (who were able to take down a pair of giants on their own) and Hermes (famed for his quick wit) also qualify as this.
Thoth was the God of wisdom and writing who INVENTED MAGIC! He is also, because of this, responsible for everything without a soul. He can kill demons with a thought, or force them deep into the Duat.
Lug, an Irish or Celtic deity. He was a historian, sorcerer, musician, artisan and expert warrior, among other things.
Older Than Feudalism: David in the Old Testament/Hebrew Bible was a harp virtuoso and psalmist who also knew how to beat up men and beasts much bigger and stronger than himself.
The Apostle Paul. Though he was a Badass Pacifist (at least after his conversion, prior to which he was more of a Knight Templar), he lived through adventures as dangerous as any in the Old Testament, from shipwrecks to being fed to lions to facing down evil sorcerers and demons. Not bad for a bookish theologian.