Yes, Neil Gaiman is still involved with American Gods, season 2

Gillian Anderson as Media

The Real Neil shows up on reddit himself to set the record straight:

I’m still part of the show and enthusiastic about it — I just did a rewrite on the first episode which starts filming this week. Bryan Fuller and Michael Green left, after disagreements over budget issues. (They wanted more than the 9 million an episode they had). Gillian Anderson was only signed up for one season. Kristen should be back the next time Easter is in the story.

Gillian Anderson was absolutely sublime. Her absence from season 2 will be a real loss. Glad we get more of Easter, at least – she was nothing like I imagined in the book, and on the whole I like the TV version better.