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A long while a go, I made a post about hurlbats. Since then, I've not only learned more about axe throwing in general, but have thrown axes myself.
Written records
Axe throwing was made famous by the Franks. They were likely named for their axe, called the francisca. There are a few Roman and Byzantine accounts of them throwing their axe in battle on command. Gregory of Tours mentions a time when King Clovis threw his axe to dedicate a spot to build a church.
In the 10th century, there is a story in which St. Wolfgang threw a copper axe to dedicate a spot for a church.
The Norse were also known to throw axes. Several sagas reference individuals throwing axes in combat. The battle at Stiklastaðir a is referenced as having some warriors throw their axes. King Cnut the Great threw an axe to dedicate a monastery.
Hurlbats were throwing axes of the late Middle Ages and early Renaissance. For more info, see my older post.
The sport of throwing axes originated with lumberjacks in the 19th century.
In the Alps there are tales of the relinquishing of weapons, like axes, in rituals as a form of sacrifice.
Speculating the "why"
The idea of throwing an axe likely comes from the hunter-gatherer days before the invention of the bow. As there seem to be just as many mentions of throwing an axe for religious purposes, likely this ties to the idea of a thrown weapon is a sacrifice to achieve a goal. In a hunt, this is clearest: one sacrifices an axe in hopes of getting dinner, success when a strike is true, but if missed, dinner and the axe may be lost.
Sources to see