Fan Nickname: Loki's reincarnated self is Kid Loki, or less often Little Loki. Loki as a woman is Lady Loki (with the official Marvel description of that period on their site being Loki looks like a Lady.
Unfortunately, and crudely, some circles of fans have also taken to nicknaming the New Thor 'Whor'.
What Could Have Been: Jack Kirby originally envisioned his New Gods as part of Thor's mythos, but jumped ship to DC before these plans materialized. Darkseid could have been a Thor villain.