No hero ultimatly looses becuase if they did the title would end. There are some villians that spank Thor on a regular bases. Thor only wins due to a plot device and because the hero is suppose to win. Here is a list of Villians that treat Thor rather badly.
1.) The Destroyer
2.) Mangog
2.) Kurse
3.) Galactus, Ego and most cosmics
4.) Thanos
5.) Korvac
6.) Count Nefarious (when not stupid)
Thor has a little trouble beating guys at his level who are hell bent on fighting. He finds a way to put these types down eventually. Thor is usually watered down when fighting with a team to make the others look good but when he goes all out watchout. Thor's hammer allows him to battle cosmic types on a some what even playing field. Notice that all on the list above are true team busters and some are planet wreckers and Galaxy busters.