This is essentially what you need for a Thor Odinson build:
SPELLS:
Oakflesh (As he is also the god of oak trees)
Every lightning spell (obviously)
Healing (Self-heal only)
SHOUTS:
Storm Call
Unrelenting Force
Whirlwind Sprint
WEAPONS:
Warhammers only (I'm using Volendrung in my current playthrough as it looks the most mighty)
Fists (Thor didn't always have Mjolnir, so you'll have an easier time at the start of the game)
ARMOR:
Full set of Ancient Nord Armor, with enchantments (I also use the Gaulderson Amulet to boost Magicka, Health, and Stamina; Bond of Matrimony may also be recommended for healing purposes)
ENCHANTMENTS:
Fortify Magicka and Destruction
Fortify Two-Handed
Fortify Carry-Weight (Optional, but highly recommended)
Fortify Shock Damage (Used on Warhammer)
SKILLS:
Destruction (Shock branch, Level branch, Dual-Handed branch [Optional])
Alteration (Novice perk only)
Restoration (Novice perk only)
Smithing (Steel and Arcane Perks only)
Heavy Armor (All if Possible)
Two-Handed (All Damage perks, all Warhammer perks, and Devastating Blow perk)
Enchanting (Optional)
Lockpicking (Optional)
DESIGN:
I based mine more on the Thor from the mythology and not the Marvel Thor. However, the design is entirely up to you.
Some parts of the game force you to perform actions that are required for quests, so they don't technically count against the run. My advise for you is to have fun with this one.
P.S. Since my Thor is based on the mythology, and has a dislike for Reptiles (Jormungandr), Wolves (Fenrir), Assassins/Thieves/Giants (Loki), that means that I'll have to kill Paarthurnax, never join the Dark Brotherhood, Thieves Guild, and Companions Guild, never help any Non-hostile Argonians/kill every Hostile Argonians, and kill every Giant in my sight.