Thor supposedly always had the dimension-hopping ability, it's just that no one believes he can do it, other than Tony Stark at one point. The biggest hint that Thor might actually be what he claims is at the end of the Ultimates Homeland Security arc, where he teleports the Chitauri bomb to whatever dimension houses Fafnir the dragon (a creature mentioned in Norse mythology). Given that the bomb was supposed to have been able to decimate the entire solar system when it went off, the general consensus is that Thor did indeed send it to a different dimension, and not just elsewhere on Earth.
If you count the novel The Tomorrow Men as being in continuity, there's an amusing scene where Stark ask Thor where he's been, because the answers are always so interesting, and Thor launches into this description of whatever dimension he'd just come from. (I don't have access to my books right now, so if you want actual names of dimensions, it will have to wait until I get home.) We also get a look at Thor's mental picture of Asgard, which is quite impressive.
Just a comment on Thor's use of English; it's been established in Ultimates that Thor was born and raised on Earth. Even if Norwegian is his primary language and English a second, he should have learned late 20th century English, not 16th century pseudo-Shakespearean English (or however you want to describe what he speaks in 616 Marvel). It would be interesting to hear why there's been a sudden switch in speech patterns (other than the possibility that the author didn't do his homework...).
Perhaps after work I'll amble down the street to my LCS and look this over. I don't suppose the women's costumes have improved any since the first issue, though. :|
