Thor is unique because he isn't just a superhero—he's a god. He comes from the Norse mythology from which Stan Lee, Larry Lieber, and Jack Kirby drew their inspiration when they created a version of the ancient god for 1962's Journey into Mystery #83. Lee, who was running Marvel at the time, assigned his brother Lieber to script the issue, with Kirby penciling.
Unlike his older brother, Lieber didn't immediately jump into the world of comics. Though he was always interested in drawing (and was even good at it), he didn't get into the High School of Music and Art as he wanted, so after graduating high school, he joined the Air Force during the Korean War. After his stint was done, he started working for Magazine Management, the company that owned Timely Comics. It was through his work with Magazine Management that Lieber started working with his brother at Marvel. "Stan made up the plot, and then he'd give it to me, and I'd write the script," Lieber said of his work routine. He must enjoy it—he's still doing it as of this writing, penciling Spider-Man comic strips past his 80th birthday.
As for Thor, it's hard to say who actually came up with the idea for the character, though there's no denying all three played an integral role. In his autobiography, Excelsior!: The Amazing Life of Stan Lee, Lee explains that shortly after creating the Hulk, he wanted to create a character who could be stronger. The only way that would be possible was to make a god, and thus Thor was born. "After writing an outline depicting the story and the characters I had in mind," he recalled, "I asked my brother, Larry, to write the script because I didn't have time."
It only made sense for Lee to assign Kirby as the artist, because he was an avid enthusiast of the ancient gods—in fact, he'd done a version of Thor for DC in the '50s. "He had a red beard, but he was a legendary figure, which I liked. I liked the figure of Thor at DC, and I created Thor at Marvel because I was forever enamored of legends," said Kirby. "I knew all about these legends which is why I knew about Balder, Heimdall, and Odin. I tried to update Thor and put him in a superhero costume. He looked great in it, and everybody loved him, but he was still Thor."