When Thor loses his hammer, it's a BIG deal. Thor's hammer represents his physical strength and power. It's what makes him such a deadly opponent in battle, and such an awesome protector of Asgard. Since that pretty much sums up Thor's character, it's fair to say that Thor's hammer is what makes Thor, well, Thor. To get it back, Thor has to resort to Loki-ish trickery and craftiness, which is very out of character for him. Nope, Thor hasn't just lost his hammer – he's lost himself.
If we want to go even deeper here and get all Freudian, we might even say that Thor's hammer represents his, um, manly parts (in fancy scholarly language, his phallus). You may think we've got our minds in the gutter over here at Shmoop HQ, but we're serious. Just look at what happens after Thor loses his hammer. No longer is Thor an ultra-masculine superhero protector-of-the-universe. Suddenly, he's prancing around in women's clothing. That the loss of his hammer should also represent a loss of masculinity tells us quite a bit about what the ancient Norse thought made a man manly: physical strength and the power to beat others in a fight.
Of course, the ancient Norse weren't alone in making this connection, or in using a hero's weaponry to represent it. In just about every medieval romance we can think of, like Malory's Morte d'Arthur, Chrétien de Troyes's stories about King Arthur, or even Chaucer's parody of romance in "The Miller's Tale," a weapon is never just a weapon. Nope, it's a symbol of masculinity, and its disappearance or damage represents something going very wrong with the hero's manliness.