Before he knew he was playing Loki, Tom Hiddleston gained 20 lbs of muscle so he could play Thor. Once he knew his actual role, he had to go on a strict diet to lose that muscle.
Once he was cast as Thor, Chris Hemsworth, having never worked out before, underwent six months of training with a US Navy Seal and gained so much muscle that when he got fitted for his costume, it was too tight for him.
Enforced Method Acting: The scene where Loki briefly tries to speak up before Thor is banished, but Odin shuts him up with a sort of roar that causes Loki to stumble back, blinking and silenced. According to Hiddleston, the roar was "unscripted genius[...] Terrifying. Magnificent." and his startled shrinking away 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.