Most heroes have one sidekick, but when you're the god of thunder, you go big or go home.
On top of Sif, he has three other guys who get to be his best bud: Fandral (Josh Dallas), Hogun (Tadanobu Asano) and Volstagg (Ray Stevenson), collectively known as the Warriors Three. They act as a Thor support squad and all-around good buddies, serving as back-up sidekicks in the event the main sidekick goes down.
As such, they're pretty simple personality-wise: there to provide Thor with some hangers on and leaving the depth of personality to figures with more screen time. Like Sif, they're loyal to a fault, ready to join Thor anytime he needs a little back-up.
Fandral's the swashbuckler: the kind of guy who laughs a lot and fences you with one hand while holding a glass of wine in the other (preferably on top of a table in a bar somewhere). Hogun is stoic, refusing to talk much and watching and observing more than speaking (you'll notice he doesn't have much dialogue here; that's not a mistake). And Volstagg…Volstagg likes to eat, though that doesn't stop him from taking down frost giants with the best of them.
Individually, they're not hugely interesting, but put them together, and they've got some pop: proof that three sidekicks can sometimes be a lot cooler than one.
Oh yeah, and one more thing: these guys didn't come from any ancient myths or legends. They were created by Stan Lee and Jack Kirby in the course of the Thor comics and belong solely to the Marvel Universe. We actually find that really cool: a sign that Lee and Kirby really were devoted to evoking ancient myths in their modern comic book.