Deleted Scene: A few were shot that reinforced the ambiguity and depth of Loki's character, most notably one where Frigga officially passes the throne to him and he seems startled that he's expected to take it.
Tom Hiddleston originally auditioned to play the title character and gained 20 lbs of muscle to help look the part. When it was decided he was better suited to play Thor's lean and dark brother Loki, he had to slim down and dye his (naturally blond) hair black.
Once he was cast as Thor, Chris Hemsworth, having never worked out before, underwent six months of training with a US Navy Seal and continued to gain so much muscle right up to filming that when he first put on his costume, it was too tight for him.
Enforced Method Acting: The scene where Loki briefly tries to intervene in Thor's banishment, but is silenced by a sort of roar from Odin was "unscripted genius[...] Terrifying. Magnificent." on Anthony Hopkins' part, and Tom Hiddleston's startled, shrinking reaction was not acting.
Fake Brit: Chris Hemsworth (Thor) is Australian, Jaimie Alexander (Sif) and Joshua Dallas (Fandral) are American.
J. Michael Straczynski (whose work on the comic series has serious influence on the setting and Thor's costume) is the first guy to try to lift Mjolnir, and definitive 80s Thor writer Walt Simonson is an Asgardian at the end.
I Call It "Vera": Thor and Loki both wield named weapons: Mjölnir, the hammer, and Gungnir, Odin's spear. Clark Gregg, who plays Agent Phil Coulson, felt that he also should have a named weapon, so he christened his sidearm "Glockenspiel."
BRIAN BLESSED was originally slated to play Odin. Zachary Levi of Chuck and Stuart Townsend had both been cast as Fandrall before Joshua Dallas took over. Alexander Skarsgård was also tested for the role of Thor, which would have made for an interesting dynamic considering his dad is playing Erik. Daniel Craig, and Channing Tatum were also considered for the role of Thor,.
Not only does Titus Pullo play Volstagg, but Kevin McKidd (AKA Lucius Vorenus) was originally slated to play Dr. Donald Blake before the character was cut from the story. If he'd stayed in, Pullo and Vorenus would've gotten one hell of a reunion.
Dr. Selvig offered Jane to contact his colleague for consultation about SHIELD when SHIELD confiscated Jane's equipment. Said colleague was actually Dr. Hank Pym and his name was initially going to be mentioned. But the filmmakers think it was too soon to mention Hank Pym, so his name ends up being unmentioned in the film.