Trivia: Stan Lee makes his usual cameo, this time as a patient at the asylum where Selvig is being held.
Continuity mistake: In the scene where Thor tells Jane to hold on, she's on Thor's right side and Mjölnir (the hammer) is in his left hand. As they are traveling through the Bifröst to Asgard, the position of each has changed. (00:28:20)
Chosen answer: The Tesseract on Earth posed a great threat to everyone. Thor wanted to get it and Loki to Asgard as soon as possible. If he first had to track down Jane in Norway, that could take a while and leave the Tesseract vulnerable.
Friso94