According to P G Foote and D M Wilson (The Viking Achievement, 1974 edition):
The fire also provided illumination, but lamps of soapstone filled with oil were common. Two types of lamp are known; a simple open bowl, sometimes with suspension loops, and a bowl set on an iron spike which could be stuck upright in the floor. Candles were presumably only available in wealthy households (one was found in a royal grave at Jelling, for example) . . . . tarred billets of wood were used as torches, presumably outside the house.
One website I have seen claims that "The Norse name for cod liver oil is lysi, meaning “light”, and it was used to fuel lamps all over Europe. Icelanders, and some older Norwegians, still use the word lysi or lyse when referring to cod liver oil."
Edit: I followed up that last clue and the idea seems to be correct. Old Icelandic has lýsi
, n. (1) light, brightness; (2) means of lighting; oil, train-oil and lýsis-fat
, n. train-oil cask. Train oil is whale oil, which was apparently used in that region instead of cod liver oil. One Dictionary of Old Norse gives ljós
as light or lamp and lysa
as to illuminate.
A quick scout around Google images found these:
A soapstone lamp from Jarlshof, Shetland, 800 to 1100
A steatite lamp from Shetland