Heroes in Training Zeus and the Thunderbolt of Doom by Joan Holub and Suzanne Williams illustrated by Craig Williams*

Zeus is captured by three half-giants who intend to take him to their leader Cronus.  Cronus, a Titan giant, who is trying to capture all the Olympian gods.  Where does he keep them?  In his stomach!
Zeus is able to remove a thunderbolt from the cone-stone (which no one has been able to do) and with that weapon, he is able to save some of the Olympians.
Very exciting!  Funny too.  The book ended with Zeus, Hera and Poseidon heading to the sea to find the trident.
My seven year old and preschooler loved listening to this story and had fun predicting how Zeus was going to escape his many misfortunes/adventures.
So far there are six titles in the series.  Number seven is coming out 8/15/14-Ares and the Spear of Fear
and Number eight is coming out 12/2/14-Cronus and the Threads of Dread.
Here is a link to the author's website:
http://www.joanholub.com/
*Highly recommend.