After six incredible episodes, Loki has solidified Loki's position as one of the favorite characters among MCU fans. The series provided a lot of insight into Loki as a person and fans learned much more about Loki than they had previously known from a handful of movies.
Thor and Loki have one of the best dynamics in the MCU, which makes sense considering they have hundreds of years of rapport. There are a lot of things that Thor can do that Loki can't but there are also a fair number of things that Loki can do that Thor cannot. With Thor 4 and Season 2 of Loki on the way, fans will likely learn much more about their favorite brothers and what they can do.
10 Gifted With A Silver Tongue
While it doesn't always get him out of trouble, Loki is known for his silver tongue and he can often outwit others to get his way while avoiding confrontation. Not that Thor can't be diplomatic, but he tends to let Mjolnir do the talking when it comes to matters of the Nine Realms.
While many of his attempts end in failure in the MCU, Loki is known for his clever linguistics skills in Asgard. In addition to sweet-talking, he is relatively good at manipulating people, much like how he manipulated Thor into attacking Jotunheim.
9 Rightfully Rule Jotunheim
While Loki is an adopted son of Odin and has a place on the Asgardian hierarchy, he is actually the true heir to the throne of Jotunheim. Considering his father is dead and there are no other known heirs, Loki could take the icy throne if he so pleased... assuming the Frost Giants had no issues with the patricide.
However, given the state of ruin Jotunheim is in, this isn't really much of a benefit. Thor on the other hand would have no chance of ruling Jotunheim unless he decided to take a page from Odin's playbook and return to Asgard's imperialistic ways.
8 Turn His Skin Blue, Naturally
Because of his Jotun heritage, Loki was actually born with blue skin. Many fans believe he magically alters the color of his skin; however, he didn't know he was a Frost Giant for nearly 1,500 years so that doesn't make sense. Additionally, once Odin picks him up from the icy battlefield, his skin immediately assumes the color of Odin's and only reverts to blue temporarily when he is touched by a Frost Giant on Jotunheim. Thor would likely get frostbite from a Frost Giant, much like Volstagg did.
Loki's skin also becomes blue when he touches the Casket of Ancient Winters in Odin's vault, suggesting that being touched by anything freezing or colder would revert him to his original color. Loki quickly returns to his pale self after setting the ancient relic down, so clearly, the blue skin needs constant cold to stay blue.
7 Magic In General, Including Shapeshifting
Loki knows a wide variety of magical abilities, including shapeshifting which he does make use of quite often. Fans learn that Loki has been shapeshifting since childhood when Thor regales Bruce and Valkyrie with the time Loki had transformed into a snake to trick Thor before stabbing him.
Frigga never taught Thor magic because he inherited his father's incredible strength so he didn't need magic to defend himself. Thor relies on brute strength whereas Loki relies on tricks and mental manipulations to defeat his foes. Loki is also capable of conjuring weapons and other objects from thin air as if he is pulling them from a pocket dimension, much like when he reveals the Tesseract in Infinity War.
6 Has Discovered Hidden Passageways
While Thor has never actually tried to find secret passageways between the realms, Loki seems to have a knack for it and has found many that interconnect the Nine Realms and beyond. After his presumed death at the end of Thor, Loki traveled across the cosmos, learning many new and fascinating things along the way.
Given his mischievous nature, Loki learned of many escape routes in the event he needed to leave (or return to) Asgard during periods where the Bifrost was out of commission. Loki takes Thor and Jane through a space portal in Thor: The Dark World that's hidden deep within a mountain on the outskirts of Asgard which illustrates the difficulty of discovering these portals.
5 Telekinesis (Obviously, Mjolnir & Stormbreaker Don't Count)
Loki has recently shown some rather impressive feats of telekinesis in the Loki series, though some fans might recall that his telekinesis was first shown during Thor: The Dark World shortly after Frigga was killed. While Mjolnir and Stormbreaker both return to Thor's hand when he calls them, those are properties of the weapons rather than an ability of Thor's.
The weapons return to the wielder due to the Asgardians Runes inscribed upon them. During Endgame, Cap is able to recall Mjolnir (and even Stormbreaker once) during the final battle and he is not a magic user nor is he an Asgardian.
4 Illusion Projection
This "involves depicting a detailed image from outside one's self which is perceptible in the external world" such as an object or another person. Loki must have learned this from Frigga considering she was able to create such an incredibly believable projection of Jane Foster during the Dark Elf invasion of Asgard.
Every (male) Loki that knows magic appears to have illusion projection abilities, some on a much grander scale than others. Classic Loki, for instance, puts on quite a show despite his old age. Thor may be clever, but he is certainly not capable of any illusions, aside from his spectacular disguise in Ragnarok.
3 Duplication Casting
This "entails recreating an exact facsimile of one's own body in its present circumstance which act as a true holographic mirror of its molecular structure" which Loki first showcases in the first Thor film during their fight on Jotunheim. He tricks one of the Frost Giants into tackling his duplicate, resulting in the Giant falling over a cliff to his doom.
Loki then uses this again during the final battle against his brother. Thor may not be able to copy himself, but he is strong enough to shatter all of Loki's duplicates with the help of Mjolnir. Loki has also cast many duplicates over the years as a means of communicating with or tricking Thor when one of them is in a tough spot.
2 Enchantment, Albeit With Some Assistance
Loki didn't know he was capable of enchantment until he gave it a try in the Void with Sylvie when they used their combined enchantment skills to subdue the temporal beast known as Alioth. It's unknown whether or not Loki is capable of enchantment on his own, but it's assumed fans will find out in the next season of Loki, or perhaps Dr. Strange 2.
Thor has never enchanted anyone, at least not in a magical sense. Again, Thor never learned magic in the first place and considering it's a powerful form of magic that Loki didn't even realize he could do, Thor probably has no idea what it is (at least in the MCU).
1 Travel Between Timelines (For Now)
Loki's experience at the TVA is perhaps the most unique experience of his lifetime, and considering Loki has traversed vast expanses of the universe, that is saying something. While Loki is the first MCU alum to find his way to the TVA, there is absolutely the possibility of others making their way there soon.
It's incredibly likely that the next season of Loki will premiere prior to the Dr. Strange sequel, so perhaps Loki will need to recruit his brother, much like Thor has recruited him for various tasks in the past. Though until that happens, Thor is still in the dark about the TVA. However, assuming he goes on at least a couple of missions with the Guardians, Thor may end up with a story or two to rival Loki's.