D'Aulaire's is THE classic book for kids up through about 5th grade.

Then they start hammering the poor kid with Edith Hamilton, which turns them off Greek mythology until they encounter the Iliad or the Odyssey in a good translation, and maybe we get them back then. But probably not.

Go with D'Aulaire's. It's got great illustrations, and all the fun stories are in it, and sexiness is hinted at without being too ribald.