Bishop73

Answer: So it should first be stated that in the film, Thor's strength and power are considerable reduced compared to the comics (along with others like the Hulk and Loki). Presumably so there can be some suspense. In the comics Thor survived a blast from a nuke designed to destroy an entire planet and he fought a guy on the Sun. In the movies, neither Thor or Loki should be considered immortal, or even invulnerable (Loki even tells Thor "The humans think us immortal"). Asgardians were shown to die in battle, giving the viewer the thought that Thor could also die. However, even in the film, it's unlikely that the fall would have killed him but that he would have been crushed by the concrete and steel of the cage crashing down on him when it landed. Of course, Thor didn't really want to find out if that would happen. And Loki basically implied he didn't really know what would happen to Thor after the fall.

Bishop73

Answer: In the comics, Asgard is a different dimension. Asgardians are immortal on Earth, however, they CAN be killed on Asgard. Since the Cinematic continuity is different from the comics, this probably hasn't been put to the test yet, and one can see why Thor wouldn't want to be the first to do so.

Captain Defenestrator

Answer: Loki's plan was to drive the avengers apart and keep them from being a threat. He never says he wants to kill Thor. He even jokes about "testing" the fact that the humans believe Asgardians to be immortal. Ultimately, Loki just wants Thor out of the way.

Answer: While Loki is not immortal, he's just as powerful as Thor, and many mortals would consider him a God as well. Loki is actually a Frost Giant taken in by Odin, but is just as invulnerable to many attacks. There may also be an element of magic involved in his survival as well.

Bishop73