All the main heroes seem to have experienced a good deal of tragedy.
Spider-Man lost his uncle, and Gwen Stacy, Miles Warren, Ben Reilly, and,, it's a really long list.
Batman has lost his parents, Jason Todd (What's that? He came back years ago? Nope, that's not Jason Todd. Nah nah nah nana, it's not.), and a bunch of other people he cared about.
Daredevil has lost Karen and a few other girlfriends.
Has anyone really close to Thor died? The only two people that I can think of are Thunderstrike and Odin. Odin will probably come back, and Thunderstrike, how often is he mentioned? The only time that I remember was in that Grim Reaper Avengers issue during the Busiek/Perez run. I mean, I guess you could say that Thor lost everyone in Asgard, but there all pretty much back now.
Afterall the heartache and trouble that his love for her got him into. Rebelling against Odin, fighting against his own people and going into exile, even willing to give up being Thor, when he finally got the chance to be with her but she failed the test that Odin set, he met up with Sif and then totally forgot about Jane. The same thing happened the second time round. When he discovered Jane was dying, he remembered his love for her and forgot about Sif who seeing how much Thor loved Jane, sacrificed herself to save Jane. Yet when Thor took Jane to Asgard and Sif reappeared in her place, Thor hardly seem to bat an eye at Jane leaving his life again.
Maybe that mean old father of his was manipulating things again but it never made sense to me.