I also have to recommend Warren Ellis' 4-issue run from (I think) issues 496 to 499, which kind of reinvented Thor as a mythic yet vulnerable figure. Was actually a bit disappointed when the series reverted to a more generic superheroey feel.
That's an odd little run. I've wondered if Ellis was supposed to do more than those four issues and then bailed on the series when Marvel mandated an Avengers crossover and the lead-up to Heroes Reborn
within six months of Ellis' first issue. (Which I think was #493.) The reason I call "Worldengine" odd is that at the end of the third part the story seems to be heading in one direction, but then Ellis wraps a lot of things up in a hamfisted manner in the fourth part, then William Messner-Loebs set up a new status quo where Thor and the Enchantress are supernatural investigators.