Odin

There's also a working rule the Asgardians follow: never keep two Stones in one place. That's why, at the end of Thor: The Dark World, the Aether (Reality) is handed to the Collector rather than stored in Odin's vault — the Tesseract (Space) was already there.

1. Hidden in Norway for centuries, placed there by Odin
2. 1942 — Red Skull steals it (The First Avenger, film)
3. 1945 — Rogers boards the Skull's aircraft. The Skull touches it bare-handed; it burns a portal through him and transports him away. Rogers never holds it. It burns through the floor and drops into the Arctic
4. Howard Stark, searching the ocean for Rogers, finds the Tesseract instead. He never finds Rogers
5. It passes to S.H.I.E.L.D., which Howard co-founded, and sits in storage for decades
6. 1995 — a S.H.I.E.L.D. researcher uses it to build an engine; the explosion gives Carol Danvers her powers (Captain Marvel, film)
7. 2012 — S.H.I.E.L.D. is studying it as an energy source. Loki takes it (The Avengers, film)

Bor, Odin's father, defeated the Dark Elf Malekith around 2988 BC and hid the Reality Stone (the Aether) where it couldn't be found.

Odin and his firstborn, Hela, conquered the Nine Realms in a campaign of extraordinary brutality. When Odin decided to stop and rule peacefully, Hela refused. He imprisoned her, erased her from the official history, and rewrote Asgard's founding myth as one of peace. He then had two more children: Thor, and — adopted from the Frost Giants of Jotunheim after a war — Loki.

Thor: Thor's arrogance restarts a war with the Frost Giants. Odin banishes him to Earth, stripped of power. He lands in New Mexico, meets astrophysicist Jane Foster, learns humility, and earns Mjolnir back. Meanwhile Loki discovers he was adopted — taken as an infant from Jotunheim — and, in a spiral of resentment, seizes the throne and tries to destroy his birth people to prove his worth. He loses, and lets go of the Bifröst into the void.

Jane Foster is infected by the Aether (the Reality Stone). Malekith the Dark Elf wakes to claim it. Frigga, Thor's mother, is killed. Thor and Loki reluctantly ally; Loki fakes his own death, then secretly deposes Odin and rules Asgard disguised as him.

Odin dies, releasing Hela, Goddess of Death — his firstborn, and the truth about Asgard's violent founding. She shatters Mjolnir and takes Asgard. Thor is stranded on the junk planet Sakaar, ruled by the Grandmaster, where he's forced to fight Hulk, who has been there two years as a gladiator.

How was Hela imprisoned, and why? She was Odin's executioner during the conquest of the Nine Realms, and her power grew alongside Asgard itself. When Odin decided to stop conquering, she refused. He couldn't kill her, so he banished her to Hel and bound the imprisonment to his own life force — then erased her from history, painting over the murals of the conquest with images of peace. She's released the instant he dies, which is why his death opens the film.

"Worthiness" is Odin's enchantment, and Hela predates and outranks it. It's also where Thor learns his power was never in the hammer.

Thor escapes with Hulk, Loki, and Valkyrie — the last of Odin's elite guard, an alcoholic in exile after Hela slaughtered her sisters. They realise Hela draws her power from Asgard itself, so the only way to beat her is to destroy Asgard. Thor releases the fire demon Surtur and lets the realm burn. Asgard is a people, not a place.

Why does Loki take the Tesseract, and why does he come back? He takes it from Odin's vault opportunistically — Thor sent him to fetch Surtur's crown, and he grabs the Tesseract on the way out because it's leverage and because he can.

New Asgard is in Tønsberg, Norway — the same coastal town Odin hid the Tesseract in centuries earlier. There is no Bifröst: Asgard the realm was destroyed in Ragnarok, and the bridge before that.