Successfully complete the indicated task to unlock the corresponding costume:

Oliver Coipel's Thor: In Vanaheim (The Arrival), go through the first door, and stay on the overhang. Walk behind the tower with the door to find the costume icon.
Destroyer Thor: Successfully complete the game.
Jack Kirby's Thor: In Niflheim (The Approach), throw the statue head, then look to the right of one of the giant stairs to find the costume icon.
Ultimate Avengers' Thor: In Midgard (Burning Town), search the area where you saved the trapped civilians from fire outside the police station to find the costume icon.