The value of humility
Perhaps the most important theme in Thor is the eponymous protagonist's towards humility. At the start of the film, Thor's gifts have imbued him with a profound sense of power and arrogance. He knows that his abilities allow him to get away with things that other people would not otherwise be able to. However, after he is stripped of his powers to harness lightning and use his super strength by his father, King Odin, as punishment, Thor becomes painfully aware of what it is like to live without such things. Thor begins as a brash, impulsive warrior, eager for battle glory and destruction. But after experiencing life on Earth, where he is mortal and very much fallible, he is humbled. He learns of the simple pleasures of life, including love, with the help of his girlfriend, Jane Foster. He likewise learns of the importance of leadership and taking charge in difficult situations that would otherwise not go well if he wasn't involved. This transformation is crucial for his character development and underscores the hero's journey he must go through to unlock his full potential and become the hero that everyone knows and loves.
Family
Family is another central theme in Thor. Throughout the film, viewers see the machinations of Thor's family, including King Odin, the patriarch; Frigga, Odin's wife, and Thor and Loki's adoptive mother; and Loki, the trickster who the film reveals was adopted by Odin and Frigga.
Not only that, the dynamic between Thor and Loki creates an important subplot in the film. Through their feud, which sees Loki trying to take the throne of Asgard and exert his will on everyone in the Kingdom (and beyond), the film explains the evolving dynamics of the family. It shows how the actions of one person can radically alter a relationship for the worse. To that end, Loki's discovery of his true heritage and subsequent betrayal highlight the complexities of family relationships, particularly in a royal setting that is surrounded by substantial expectations. Still, the film shows that these struggles are common to every family, not just those with royalty involved.
