I went with my nephew and some of his friends and all of the Marvel Universe references were lost on him. When it was done, we had to explain to him who Thor was and what the Avengers were.
Me: Do you know what the Justice League is?
Him: Uh, yeh.
Me: The Avengers are the Marvel comics version.
Him: Oh. Cool.
Could've happened while watching Green Lantern or Superman when they referenced the Justice League.. just shows he has more knowledge of DC than Marvel.
However that's what introductory movies are for.. Iron Man did a perfect job introducing Tony Stark and the same goes for all first movies in the Marvel franchise (some do it better and some not).
I'm sure that when Thor rolls around they will explain Asgard, Odin, Mjolnir etc. and he will know enough to grasp that Thor is one of the heavy hitters of the Marvel universe.