In the Marvel comic books, Thor is from Asgard, a realm based on Norse cosmology, and it is connected to other realms collectively referred to as "The Nine Worlds”. In the 2011 film adaptation, we only get to see three of them - Asgard, Jotunheim and Midgard (Earth). In the upcoming sequel, "Thor: The Dark World", we are expected to explore more of the said Nine Realms. Here is a crash course on the Nine Realms since they are a little difficult to understand, even for comic book fans.
Asgard is a small asteroid that serves as home to the Norse gods. It exists in another dimensional plane and is a flat, land mass that has a top surface with a gravitational pull, similar to that of the Earth’s. Asgard has one permanent portal and that is Bifrost, the Rainbow Bridge but it has been shattered making it difficult to travel between the dimensions.
Four of the Nine Realms exist on the same asteroid. These are Asgard, Vanaheim, Alfheim, and Nidavellir. Valhalla, the realm of the honoured dead is also located on the asteroid, but it is not considered to be one of the Nine Worlds. The other five realms, Midgard (Earth), Jotunheim, Svartalfheim, Hel, and Muspelheim each exist in their own different dimensional plane.
- Asgard: Home of the Asgardians. Asgard is the name of the asteroid, a distinct region on the asteroid and also its capital city.
- Vanaheim: Home of the Vanir who are the sister race of the Asgardians. It is a distinct region on the Asgard asteroid.
- Alfheim: Home of the Light Elves. It is a distinct region on the Asgard asteroid.
- Nidavellir: Home of the Dwarves. Itr is a distinct region on the Asgard asteroid.
- Midgard: Home to humans and does not seem to be affected by the motion of the other worlds of Asgard.
- Jotunheim: Home of the Frost Giants and is ruled by Laufey.
- Svartalfheim: Home of the Dark Elves and is ruled by Malekith.
- Hel: Realm of the dead who are neither honoured nor dishonoured. It's sister realm, Niffleheim is the home of the dishonoured dead. Both worlds are ruled by Hela.
- Muspelheim: Home of the Demons and is ruled by Surtur.
Source: Marvel Universe Wiki
