American Gods season 2, episode 6, "Donar The Great", addresses a question that was raised in the original novel yet never answered: how exactly was Thor, the Norse god of thunder, driven to suicide? Despite being the most famous of the ancient Viking gods in popular culture today (even ignoring his status as a member of The Avengers) and Norse mythology playing a central role in the plot of American Gods, the original novel doesn't mention Thor except to note that he shot himself in the head in Philadelphia in 1932.
The questions of how gods are born and how they die lies at the center of American Gods. Gods exist as symbiotic beings in this reality, drawing power from worship and sacrifice from mortals and bestowing favors and fortune on them in return. Gods who are no longer actively worshiped in modern times can get by, drawing on the attention mortals pay unto forces within their sphere of influence, such as a god of blacksmiths taking power from the manufacture of guns and ammunition. When a god has no followers or influence, they can be killed as easily as any mortal or simply fade away into nothingness. This made the mystery of Thor's death all the stranger, as he should have been resurrected or reborn in a new form by the rules as we know them.
"Donar The Great" explains another avenue by which gods can die, after Shadow Moon questions Mr. Wednesday about his son, and how a god as well-known as Thor could die. The answer lies in a flashback sequence, set in the early 1930s, showing Mr. Wednesday in happier times when he was known as Al Grimnir - owner of the Regius Theater and burlesque master of ceremonies. His star attractions are his son, strongman Donar the Great, and the exotic dancer Columbia, who was once the spirit of America and the Western Expansion. Donar's act involves lifting heavy objects while acrobats dressed as Valkyries balance upon him and the objects. Columbia's act involves stripping down from her sexy Star-Spangled cowgirl outfit while singing a jazzed-up rendition of "Don't Fence Me In".
The two stars are in love and dream of heading out west to California and finding fame in Hollywood, like many of the stage performers of the time did, as motion pictures began to overshadow stage shows. This doesn't please Grimnir, who depends too heavily upon the second-hand worship he gets from his stars. This leads him to push Donar to become the face of the Friends of New Germany - a pro-Nazi group in the United States that tried to win Americans over to Adolf Hitler's cause. Grimnir also pushes Columbia to accept a similar offer from the New Gods, who want to reinvent her as a feminine symbol of America to inspire people in the coming world war.
Donar finds the ideology of the Nazis distasteful, however, and tries to back out of his new position, after they ask him to throw a wrestling match against a German champion. Grimnir argues against this, saying that worship is worship and what mortals do in their name matters little. This attitude, coupled with Grimnir's trickery causing Columbia to abandon her dreams of California and a life with Donar, leads the thunder god to break his father's spear and leave his employ for good.
"Donar the Great" changes the details from the book slightly, with Thor now shooting himself in the chest in 1942 - presumably after the realization of just how much evil the Nazis had done using the trappings of Norse mythology and his name as an inspiration. The loss of Columbia was also a factor, as viewers can see a picture on the wall of the room where Thor dies - a poster of Columbia in her new form as Rosie the Riveter. In addition to further establishing the history of American Gods' reality, this also shows audiences that an active decision to end their existence can permanently kill a god as easily as human apathy.