In many versions of the Arthurian mythos, Morgause is Arthur's half-sister. Their son and nephew, Mordred, eventually destroys Arthur's kingdom.
In Norse Mythology (at least according to Heimskringla), marriage and breeding between brother and sister were common amongst the Vanir before their alliance with the Aesir. The twins Freyja and Freyr were children of Njord with his unnamed sister. Loki in the Poetic Edda also once accused Freyja and Freyr of sleeping with each other, though it's not clear whether this is more than slander.
Through in the following stanza Njord defends Freyja, but it's for the infidelity-claim. The incest part is not mentioned. It does make you wonder through...
In the myth of creation according to the Aztecs, Quetzalcóatl was a celibate god. Then he got drunk after a fight with his brother/alter ego Tezcatlipoca and had sex with his sister.
In fact, almost by necessity most creation myths involve this, particularly among gods and titans like Zeus and Hera, and their grandparents Oranos and Gaia — who were mother and son too, technically.
There was also a myth about Poseidon's short affair with Demeter (his sister) which may or may not have been consentual. (Whether it was seduction or rape was unclear, something that is often the case in these myths.)
The whole pantheon is filled with incest of just about every conceivable combination. Brother-Sister Incest is probably the least strange of it.
Heracles is a textbook case. His father Zeus was a son of Kronos and Rhea, who were brother and sister (children of Gaia and Oranos). His mother Alcmene is also Zeus' great-granddaughter (through her grandfather Perseus, son of Zeus and Danae). When he ascended to Olympus, Heracles got to marry his half-sister and great-aunt Hebe, daughter of Zeus and Hera, Zeus' sister and wife.
Classical Mythology also had Byblis falls in love with her brother Caunus, and defends their relationship by pointing out how many immortals have had incestuous relationships. Their story was later retold by Ovid.
Averted in the Rigveda. Twins Yami and Yama are the first created mortals, and Yami attempts to seduce Yama so they may continue the human race. Yama refuses on the grounds that she's his sister so that's just wrong.
In ancient Hawaiian myth, the divine couple who gave birth to the Hawaiian islands were either siblings or half-siblings. They also had a daughter who grew up to be so beautiful that her father begun a relationship with her and fathered two more kids. This became the basis for a practice known as pi'o, intentional incestuous mating amongst the ruling class. Extensive genealogies were kept in order to produce the most inbred (and thus, godly) chiefs possible. The commoners were forbidden to do this out of fears that they would start producing children with chieflike levels of mana.
Alchemy has many incest symbols, especially the hierosgamos or coniunctio ("sacred marriage" or "union"), a chemical wedding of male and female, brother and sister. The rebus is often shown as an incestuous brother and sister, portrayed as a union of Sol and Luna, sun and moon.
Egyptian Mythology: Isis and Osiris, Nephthys and Set. In some versions of the mythos, Isis gives birth to reincarnations of herself and her husband who mate even before birth - may sound icky at first, but this is in all probability a fertility myth inspired by the constant rebirth of plants and harvest.
Nut and Geb are also technically siblings and in love with each other, but are forced to remain separate to maintain the order of the cosmos.
Chinese Mythology is unclear as to whether human beings originated from divine incest: The first god Fu Xi and the first goddess Nu Wa, both of them beings with human torsos and snake tails, are at once brother and sister as well as husband and wife. It is usually stated that the first human are created as clay figurines by Nu Wa, but both deities are credited as the creators of human.
Japanese Mythology have the first deities Izanami and Izanagi. Some versions of the myth also have the sun goddess Amaterasu married to her brother Tsukuyomi.