The adopted-brother story at the heart of the Thor films.
Thor is the heir, Loki is the adopted son who finds out late. Follow the family through the Thor films to Infinity War and Endgame, and see where the 'chosen family' reading comes from.
Levels marked "Sourced facts" are checked against the sources listed at the bottom. Levels marked "Fan theory" are interpretation, not confirmed by the films or their makers.
Thor (2011): Thor's coronation is interrupted, he is exiled to Earth for disobeying Odin, and Loki learns he is Laufey's son, adopted by Odin after a war. Loki tries to destroy Jotunheim to prove himself to Odin and falls into the abyss when Odin rejects him. Thor: The Dark World (2013): their mother Frigga is killed protecting Jane Foster, and Thor frees Loki so they can avenge her together. Thor: Ragnarok (2017): Odin dies, his firstborn Hela returns, Thor loses his right eye fighting her, and Thor and Loki reconcile aboard the Statesman. Avengers: Infinity War (2018): Loki dies trying to kill Thanos after giving up the Tesseract to save Thor.
Wikipedia's Loki article says Loki felt neglected by Odin in favour of Thor and grew closer to Frigga, who taught him magic. Her death in The Dark World is what makes Thor free Loki in the first place. In Avengers: Endgame (2019), when Thor time-travels to Asgard in 2013, he meets Frigga again and she encourages him.
This part is interpretation. Many fans read the Thor films as a story about chosen family: Loki isn't Odin's son by blood, but by the end he chooses to stand with Thor, and in Infinity War he dies protecting him. It fits what happens on screen, but the films never state it as a theme, and we haven't found a filmmaker quote that does. Take it as one good way to read the story, not the official one.