Quote me the episode where you’ve seen them wearing a burgeonet style heltmet. I have both season 1 and 2 on DVD.
Further, yes... The Saxons do fight well... For Saxons. Against Vikings, a lot of folks came up short. There are at least two battles where the Vikings are outmanuevered and defeated.
And yes, there is actual evidence that Norse women not only accompanied men on raids, but fought as well. Realativly rare, but it did actually happen.
You can call Saxo a liar, but then you are undercutting using what he wrote about a lot of other things as well.
http://books.google.co.uk/books/about/Kaupang_in_Skiringssal.html?id=0OYiAQAAIAAJ
Several of the female graves at this dig site included woman sized axes, arrows, and knives. Noted in that they are similar in kit buried with male warriors.
They've put burgonet helmets on Saxons more than once, here is but one example (season 2 ep9) ~~ https://www.youtube.com/watch?v=a05AOYLIh8w
And again, the body-armor (having refreshed my memory with the above clip) does literally look like they got some kind of wholesale deal on the English armor from Braveheart (wasn't accurate for that either, but I digress).
Yes, the Vikings are beaten a couple times in the series, but in typical "bad-guy" fashion the Saxons lose scores of men to batter down the handful of scruffy heroes. As far as fighting well "for Saxons," in reality it would have been difficult, often impossible, to tell the two sides apart in a battle between Vikings and Saxons, unlike the Franks who never really took to shieldwall fighting (their armies being built around cavalry). There are many reasons that the Danes experienced so much success initially in their onslaught against Britain, but I'd say overwhelming prowess in combat was one of the least influential.
Small axes, arrows, knifes and so forth could and did indicate things about the person buried besides warrior status. Considering the domestic role women played in Viking society, the presence of multi-use tools certainly need not indicate that the person buried was a warrior.
Show me the skeletons buried with swords (a surer indicator of warrior-status, unlike more general tools like knives), the skeletons showing battle-damage (knicks etc.), buried in Britain or other places the Vikings would have gone on war-making expeditions, that have been identified as female. Unless significant finds have occurred since the last time I put a lot of study into the topic, I don't think you'll be able to present anything compelling.
As for Saxo...Much of his work swirls so thoroughly with legend that I don't think he can be used to support objective historical arguments -- why bother consider his talk of shieldmaidens, when we'd then also have to examine his talk of 7 years of preparations, hundreds of thousands of warriors, and thousands of ships at the battle of Brávellir? There were occurences of women taking up arms in times of desparation, there is no doubt. But in the context of the TV program in question, where women are presented as having an equal and unquestioned role in battle, absolutely not.