Where To Begin
Every hero has a beginning. This was Thor´s. Hard to get, but a fundamental piece for every fan.
If you don't wish to start there however and want a more modern take, you should try Thor: The Mighty Avenger, it's a short lived series but it gets to the point of who the character is in a fun way and establishes his origin with no big continuity ties.
The Mighty Thor by Walt Simonson is the holy bible of Thor comics. If you want tons of pages full of Thor content and epic stories, this is your choice. It´s a must have for every fan, that includes veterans and newbies.
Thor by Straczynski is a Thor revamp unlike any other. It made Thor a part of the big three in Marvel once again with its interesting characters and story.
This is the Marvel NOW semi reboot of Thor. It´s perfect if you are new to the character because it´s easier to get than Journey into Mystery, however, this is NOT a Thor origin story. So I would not recommend picking this up first if you haven't read anything Thor before.
Tales of Asgard. Some of Stan and Kirby work during his best days.
Avengers Disassembled: Thor. Want to see Thor falling and rising? This book should get what you want.
This issue is Beta Ray Bill's first encounter against Thor with an unexpected outcome. A Must Have.
Thor Vikings by Garth Ennis. While not necessarily in continuity, this is a gruesome yet fun miniseries where Thor takes on thousand year old zombie vikings with a guest appearance from Doctor Strange.
Thor Blood Oath. This is another miniseries that opens up a new side of Thor. The Warriors Three are put on trial for murder and Thor can not use Mjolnir.
Thor Ages of Thunder. An examination of Thor's trials and tribulations over the years.