He first appeared in the Marvel comic books in 1962, the second wave of superheroes that followed the introduction of The Fantastic Four and Spider-Man.
Thor is the mythological Norse God of the Storm. When he was introduced in "Journey Into Mystery" No. 83, he was a lame physician who became trapped in a cave while running from invading aliens.
In the cave he found a mysterious hammer. When he picked it up, he was transformed into Thor and promptly sent the aliens packing.
It was later revealed that Don Blake always was Thor, he just didn't remember it. He was exiled to Earth by his father, Odin, for arrogance and recklnessness. His life was manipulated so that one day he would find the magic hammer that would restore him to his godly power.
Along with Iron Man and the Hulk, Thor formed The Avengers in 1963. Captain America and Hawkeye joined later. Over almost 50 years, almost 100 characters have been part of The Avengers, most are still considered reservists. Thor has left the group for years at a time, but always returns.
Chris Hemsworth plays Thor in the self-titled movie and will reprise that role in "The Avengers," written and directed by Joss Whedon.