At the end of Thor, Loki apparently committed suicide - but just how did he survive? The destruction of the Bifrost Bridge at the end of the first Thor film condemned both the God of Thunder and the God of Mischief to dying as they plunged into Yggdrasil, the World Tree. Fortunately, Odin came to their rescue; but Loki was unwilling to be saved, emotionally devastated when he realized he would not receive his father's approval. Loki chose to drop into Yggdrasil, seemingly committing suicide.
Of course, you can't keep a good villain down, and Loki returned in The Avengers the following year - this time secretly working for Thanos, and leading an army of Chitauri in an attempted invasion of the Earth. Quite how this came about has never been explained, not even in the official tie-ins, and it all seems rather too fortuitous. How did Loki survive his suicide attempt, and wind up siding with Thanos? There's been heated debate among fans ever since 2011 - but the answer may be pretty simple.
Firstly, it's important to remember that Loki is the Trickster God. He's a liar and a manipulator, and deception and intrigue is essentially his superpower. That means every word he says is suspect, and his every act has to be questioned. There's no doubt that his heartbreak in that crucial scene is real; it fits perfectly with Loki's entire character arc, including in scenes that neither Thor nor Odin witnessed. But that doesn't mean his suicide attempt was genuine. It's entirely possible Loki allowed himself to plummet into Yggdrasil because he knew that he would survive by using the very portals he'd previously used to travel to other realms - in Thor and in various other movies.
According to both Thor and Thor: The Dark World, the Bifrost is not the only way to travel between the Realms. Loki is aware of secret portals that bind the Nine Realms together; he was able to get Frost Giants from Jotunheim to Asgard without any trouble, and traveled directly to Earth without needing to use the Bifrost. In the second film, Loki even shows one of these mysterious portals to Thor to help him escape Asgard. It's possible that Loki survived plunging into Yggdrasil because he sensed the location of a portal, and guided his fall into it. Note that even Odin wouldn't suspect this, simply because he doesn't seem to know about these portals. The Nine Realms plunged into chaos after the destruction of the Bifrost, with Asgard unable to protect them, and Odin watching in anguish because he couldn't do anything about it. Odin was only able to send Thor to Earth in The Avengers by tapping into dark energy, at great personal cost; Asgard needed to rebuild the Bifrost before it could send its armies out to defend the Nine Realms and hold back the encroaching darkness.
This theory also fits with Loki's psychic link with Dr. Selvig. Presumably Loki established that link while on Earth, figuring it would be a good idea to keep an eye on Thor; he believed he'd talked his brother into remaining on Midgard, but it would be best to watch him from afar just in case that changed. Loki learned of the Tesseract through that link, and it seems probable he used that knowledge to buy Thanos' favor. He'd either materialized among the Chitauri, or on a world that they were razing on Thanos' behalf, but information about an Infinity Stone would buy him an audience with Thanos. From there, it was just a matter of time before Loki won Thanos' trust, and became spearhead of the invasion of Earth. "No resurrections this time," Thanos observed as he snapped Loki's neck in Avengers: Infinity War. He already knew Loki's reputation for cheating death - because the God of Mischief had been doing just that when he first came to Thanos' attention. This is a simple explanation, but it draws all the threads together pretty effectively.
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