The first time Thor is seen to die was in the final Ragnarok, in the storyline Thor: Disassembled. When Loki teamed up with Surtur to bring about the Asgardian apocalypse, Thor challenged the gods above all gods, giving his life to end the cycle of Ragnarok that Asgard was trapped in. Thor rested in the slumber of the gods until his counterpart Don Blake traveled into the Void and convinced him to return.
The next time Thor died was during the Fear Itself event, in which Odin’s older brother Cul Borson -- calling himself the Serpent -- was unleashed on Midgard. Cul's arrival started a series of events in which multiple hammers fell to Earth, creating a small army of the Worthy, beings who spread fear and darkness across the world. Thor, using the Odinsword called Ragnarok, killed the Serpent -- who at this point was a literal giant snake -- but died himself in the attempt. Again, Thor was able to return to the living, this time fighting his way through the afterlife to return to his rightful place in Asgardia.
Looking at the cover of next month’s Asgardians of the Galaxy #3, it definitely looks like a previous version of Thor returned to life -- potentially the one that died during Fear Itself by the look of the costume. Taking another look at the final page of Issue #2, however, reveals a third option. The style of hammer that the corpse carries, the gloves it wears and the facial hair it sports means it could be someone else. It could, in fact, be the undead corpse of Red Norvell.
First appearing in 1978’s Thor #273, Roger “Red” Norvell was a mortal and a member of a film crew that was working on a documentary about Norse Gods that walked the Earth. Once he met Lady Sif he fell in love with the Asgardian, and Loki saw an opportunity to manipulate the situation. He convinced Red to seek Iron Gauntlets and a Belt of Strength, both artifacts that would allow him to gain powers comparable to Thor and beat the God of Thunder for Lady Sif’s affections.
Surprisingly, Red actually managed to beat Thor, even claiming Mjolnir for his own for a brief time. Unbeknownst to everyone, though, was that Red had become caught up in a master plan orchestrated by Odin to find a surrogate God of Thunder that could die fighting the Serpent of Ragnarok and fulfill an ancient prophecy. Feeling guilty for his actions, Red joined Thor in fighting back the serpent but sacrificed his life in doing so.
Red Norvell was later rescued from Valhalla by Odin, but his fate following the final Ragnarok has never been revealed. The corpse controlled by Nebula is referred to as Thor, but the style of hammer that it carries looks a lot like that wielded by Red. Similarly, its gloves look a lot like the Iron Gauntlets that were worn by Red Norvell. We’ll have to wait for Asgardians of the Galaxy #3 to come out next month to know for certain, but whether it’s Odinson or Red Norvell, Nebula has a powerful undead soldier under her command.