Slavic mythology is not as well attested as the beliefs of other contemporary societies, with records being sparse. Still, it appears that at least one of the main gods, if not THE main god, was a storm deity named Perun.
This god was a bearded man who rode around in a chariot drawn by a goat, and had an axe or hammer that he threw at his enemies but would always come back to him. Sound familiar? Yeah, it sounds like Perun was heavily influenced by Thor. There was also a World Tree involved in Slavic mythology, very much like Yggdrasil.
That said, Perun did have some traits he didn’t appear to share with his Norse counterpart. For instance, he frequently used a bow and arrow in addition to his axe, and was also known to have exploding golden apples, which might have represented ball lightning, in his arsenal. The oak was sacred to him, so his worship was often held in oak groves, and included the sacrifice of bulls. Perun is often mentioned in connection with another god, his enemy Veles.
While Veles was a trickster who bore some similarity to Loki, there appears to have been more to him than that. He was the god of the underworld and the dead, but also the protector of cattle. In addition, he was connected with both magic, music, and wealth. In his ongoing struggle with Perun, he would frequently hide behind people and objects, explaining why lightning struck seemingly at random. When Perun really did hit Veles, the latter would return to his underworld, but he’d be back again later.
So what happened to these gods? Well, once Christianity became the main religion in Russia and other nearby countries, a lot of the traits of Perun were transferred to the prophet Elijah. Veles was associated with the Devil, but apparently also with Saints Blaise (as protector of cattle) and Nicholas (as giver of wealth). So I suppose you could say they both lived on in their own way.