Superhero movies practically constitute a genre all their own these days, but that usually means a healthy mix of adventure and science fiction.
The Asgardians are technically aliens here, with their high-tech gizmos and willingness to zap people with bolts of energy. But comic book movies also form a kind of adventure story, especially with Thor, where we've got lots of magical creatures and mystic threats from the realms beyond running around.
Thor definitely trends more towards adventure than science fiction—making it fairly unique among comic book movies—but you can't deny the one-two-punch of both genres that sets this story up.
More specifically, we have a quest: a mission to get back something that was lost and maybe learn a few lessons about not being a petty little god in the interim. Quests can usually be folded into the larger adventure genre, but it's pretty specific here (more so than a lot of Marvel's other movies) so we thought we'd give it a shout-out.
Finally, Thor's a parable, which in this case encompasses earlier myths and folklore that Thor sprung from, but also adds a little twist: a lesson. Thor's very much like a character in Aesop or the Brothers Grimm, who has to figure out a little bit more about how life works before he can be happy and at peace. The mythic influence is there, to be sure, but this time they come with a definite message.