The most enjoyable Thor myth, Thrymskvida in the Poetic Edda, has the giant Thrym steal Mjollnir and demand the goddess Freyja as the price of its return. The gods instead dress Thor himself as the bride, veiled, and send him to the wedding; when the hammer is laid in "her" lap to hallow the marriage, Thor seizes it and kills the giants. The tale is comic, but its logic is serious: without his hammer the gods' world is defenceless, and recovering it is recovering order itself.
Behind the Norse Thor stands a much older figure. He belongs to a widespread Indo-European type of the thunder-god who fights a serpent, a pattern he shares with the Vedic Indra and, at a distance, with the storm-gods of the Near East. His name simply means thunder, and the rumble of a storm was, quite literally, Thor driving his goat-drawn chariot across the sky.
For the historian this makes Thor a useful anchor: he is one of the Norse gods whose deep antiquity and popular worship are best supported outside the literary Eddas, in amulets, place-names and comparison across related traditions.