One of the main reasons I started this blog was to help people collect in trade, especially books that are worth reading but nearly impossible to follow through renumberings and title changes. Thor is probably the best example of this about. I considered just doing from Siege up to Marvel now but to read the whole story you really have to start at JMS' volume 1 and I guarantee you will be rewarded with one of the best modern comic sagas on your shelves.
Credit to Strazynski for the solid foundation and fantastic re imagining of this classic Avenger and hilarious ensemble cast but the real work here is from Gillen and Fraction, now two of the biggest names in comics because of the hard work they did on titles like this and Invincible Iron Man.
Gillen doesn't just pick up the loose threads from JMS' run and try his best to tie them off. Instead he runs with it, adding layer upon layer that are still paying off right at the end of his JiM run. Fraction's Thor doesn't get the same recognition as his other Marvel works like Hawkeye or Iron Man but his incarnation of Thor will always be my Thor. *blushes*
#7-12 & Giant Sized 600.
#601-603 & Giant sized finale.
Thor: Latverian Prometheus
#604-606, Sif #1 & Mini Marvels.
#Siege 1-4 & The Cabal.
#607-610, New Mutants #11 & Siege:Loki.
Thor: Siege Aftermath
Thor: The World Eaters
#615-620.1 & Thor Spotlight.
The Mighty Thor v.1
Journey into Mystery v.1 Fear Itself
#JiM 622-626, Thor & Fear Itself Spotlight.
#Fear itself 1-7
The Mighty Thor v.2
#TMT 7-12 & Fear Itself 7.2 Thor.
Journey Into Mystery v.2 Fear Itself Fallout
#JiM 621.1 & 627-631.
Journey Into Mystery v.3 The Terrorism Myth
The Mighty Thor v.3
#TMT 13-17 & 12.1
Journey Into Myster/New Mutants: Exiled
#Jim 637-638 & New Mutants 42-43.
Journey Into Mystery v.4 The Manchester Gods
#JiM 639-641 & TMT Annual #1.
Journey Into Mystery & The Mighty Thor: Everything Burns
#JiM 642-645 & #TMT 18-22
What to read next.
Thor: God of Thunder by Aaron/Ribic
Journey Into Mystery by K. Immonen.
Thor: Secret Invasion.
Siege tie ins.
Fear Itself Tie ins.
Avengers (Heroic Age onwards)