What would happen if Loki beat Thor? This is an excellent character examination of Loki himself as well as his relationship with Thor.
Marvel Visionaries: Walt Simonson Run Volume 2. Loki reluctantly teams up with Thor and Odin to try and take down Surtur.
An unlikely pairing ends up being one incredible story where Loki manipulates the X-Men in order to take down Thor.
Journey Into Mystery: Fear Itself is one of the best stories to spin out of the Fear itself event. Loki is reborn as a teenager and ends up going on a path he thought he would never walk. This story is still continuing today in Young Avengers so it is a must read.