Continuity mistake: Coulson walks into Stark's office and hands Pepper the file on the Avengers, which she promptly passes on to Stark. In the front shot, she is holding the champagne glass down by her waist. Cut to the shot from the back and you can see the glass just above her right shoulder. (00:25:20)
Continuity mistake: When Stark is about to fire up the arc reactor underneath Stark Tower, you can see that he turns for his approach. But when he is flying in with the nuke, Stark Tower is in a straight line with the street he flew in on - the same street as when they lit the arc reactor. (00:23:45)
Continuity mistake: When Thor asks Loki about the Tesseract, he grabs him with his left hand around his neck. The thumb is either by the ear or on the neck, depending on the shot. (00:45:10)
Continuity mistake: Once Iron Man finishes with his project underwater, he surfaces and begins flying towards the city. The view from behind shows a very long and noticeable vapor trail coming from his jet boots that stretches far back. But when the shot cuts to being in front of Iron Man and going with him, the vapor trail is much shorter, dissipating quickly, and hardly noticeable. (00:23:30)
Continuity mistake: When Natasha is tied up on the chair talking on the phone, a strand of hair on the keyboard appears/disappears between shots. (00:14:05)
Continuity mistake: Towards the end while the Avengers are on the news, there is a guy spray painting "the Avengers" on a wall. The style of the letters changes between shots.
Continuity mistake: Selvig is carefully moving a cylinder of iridium from a scale to its final location with a metal tongs. The way he holds the tongs changes, when it is highly unlikely that Selvig would change his grip while moving such a delicate substance. Most noticeable are his index and middle fingers. (01:01:20)
Continuity mistake: As Nick Fury and Selvig are talking about the Tesseract, an overview shot is shown where Fury says "I assumed you pulled the plug" and Selvig says "She's an energy source." This shot shows Fury and Selvig in the far background and we can see they are standing even with each other, but in a sudden close-up of the two, Selvig is suddenly standing in front of Fury. (00:03:05)
Continuity mistake: As Nick Fury is telling Agent Hill that he will act as if the world intends to spin on, and to clear out the tech below, the first shot from behind her shows she has her head leaning slightly to the right. It cuts to a frontal view of her and her head is leaning slightly to the left. (00:02:45)
Continuity mistake: After Hawkeye fires an arrow at the Helicarrier and part of it explodes, Bruce and Romanoff are knocked out of the room and land on a lower level. As they land, they are shown to be right next to each other, but when they are shown next, the distance between the two has increased by at least two feet. (01:09:45 - 01:10:25)
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