Losing his father Odin is often depicted as one of the most challenging things that Thor has to experience in either comics or movies. For movies, audiences will recall that Odin, played by Anthony Hopkins, met his inevitable fate via old age in Thor: Ragnarok. Odin's death is still attached to the pile of unfortunate circumstances that Thor is forced to mourn through over the course of one movie.
More recently, in the comics, Thor mourns again following the events of Thor #23 by Donny Cates and Nic Klein. Leading into the conclusion of the "God of Hammers" storyline, the spirit of Mjolnir is laying waste to the world around it and neither Thor nor even The Avengers are capable of stopping it. It doesn't help that this spirit is also infused with the spirit of Mangog, a villainous entity. Odin, guilty in the part he plays to enrage the mystical hammer's spirit, sacrifices his life to help give his son the ultimate power boost in the form of The Odinforce to finally vanquish Mjolnir-Mangog's spirit for good. Despite his death, this isn't the last time readers get to see Odin's presence.
At the issue's conclusion, one final twist appears as Thor hears a familiar voice emanating out of his hammer. It is then confirmed in Thor #750 by Cates and Klein that the voice in which this rekindled Mjolnir hammer speaks to Thor in is the voice of his father, Odin. As Odin obviously understands the Odinforce better than anyone else, it would appear as though he made some special post-death preparations to ensure he'll always be by his son's side.
Since this moment, Odin's voice - one which only Thor himself seems to be capable of hearing - has echoed out of Mjolnir, leading to a newly compelling dynamic for the God of Thunder. For the first time in his Marvel career as a superhero, he has a weapon that pulls double duty as a mentor, a voice that tries to help as much as it scolds, much like the actual Allfather during his lifetime.
What separates this from, say, Iron Man having J.A.R.V.I.S. in his ear or even Batman having Oracle communicate to him is the mixed emotions that all of this carries for Thor. Thor is still grieving and maintaining his own guilt for the responsibility he feels for Odin deciding to sacrifice himself. While he may be reassured to have that familiar guidance, Odin's voice also works as a reminder of what he's actually lost. It's an utterly complex dynamic that would prove especially compelling if ever introduced in the MCU's Thor movie franchise, bringing back Anthony Hopkins' voice acting skills in the process.