With the exception of a few brief side trips to the frost giant realm of Jotunheim, the films action stays limited to two places: the fictional town of Puente Antiguo, New Mexico, and the Realm Eternal…otherwise known as Asgard.
Let's break them down one at a time.
Puente Antiguo, New Mexico is actually a bit of a surprise when it comes to Marvel Comics. The MCU likes sticking to New York City, where the studio was based when they came up with all of these characters, and which shows up prominently in a number of Marvel movies.
So why The Land of Enchantment? Is Thor going to break bad?
In part, it makes a sensible setting for us to find an astrophysicist like Jane Foster, who couldn't do much stargazing in light-choked Manhattan. It also has a stark physical beauty that seems in keeping with a guy the Vikings used to worship as a god, and can provide the sort of flat vistas that make those sudden arrivals from the Realm Eternal easy to spot from miles away.
So from a plot perspective, it makes perfect sense, as well as giving it a visual style that sets it apart from the jet-setting So Cal of the Iron Man films and the patriotic Washington DC of the Captain America sequels.
Director Kenneth Branagh built a whole miniature town out in the desert, which we're pretty sure you couldn't do in New York. Finally, its flat and stark features make it a great counterbalance to the film's other big setting…which is rather busy.
Luckily for Branagh, he didn't have to go on location to Asgard. It's all green screens for him and his crew, which gives them all kinds of room to run and play. As we said above, it's busy in the Realm Eternal…and that's definitely by design.
For Asgard, Thor drew its main visual inspiration from Jack Kirby, who illustrated the original Thor comics and who most comic book fans periodically sacrifice livestock to—he's just that beloved. He stressed the marriage of high tech and classic architecture: stressing a future society that still looked like something out of an older world.
In the movie, they toned down the visual pop of the original comic colors a bit. But the hectic-ness of Asgard is still there, as is the sense that we're looking at the joining of the future and the past.
This ensures that the tone and spirit of the comics stayed the same for Thor's big-screen appearance. Also, it gives mad props to Kirby, and successfully conveys the sense that Asgard is a massive galactic center.
But most importantly, it gives us the feeling of Asgard as part of the Marvel Universe…and that it exists in the same realm as Tony Stark's mansion.