The funniest and at the same time most profound Thor story is a string of defeats – that are none at all. On his journey to Utgard the strongest of the gods loses one contest after another. Only at the end does it become clear: his opponents were Age, Sea and Thought itself.
Thor sets out with Loki and his human servants Thjálfi and Röskva into the land of the giants. The journey leads deep into Jötunheim, to the stronghold of Utgard („that which lies outside the fence“) and its lord Utgard-Loki – not to be confused with the Loki of the Æsir.
At night the travellers sleep in a vast hall with a side chamber – in the morning it turns out to be the glove of an enormous giant: Skrymir („the braggart“). He wanders on with them and carries the provisions in his bag. But in the evening Thor cannot get the bag open – Skrymir has bound it shut with magic wire. Enraged, Thor strikes the sleeping giant three times on the head with Mjöllnir. Skrymir, though, only mutters, asking whether a leaf or a little acorn has fallen on his head. In truth Thor has struck three deep valleys into a mountain – Skrymir had secretly slipped the mountain in between.
In Utgard, Utgard-Loki challenges the guests to contests. And one after another the greatest of them fail:
Loki competes in an eating contest against Logi – and loses, for Logi devours not only the meat but the bones and the trough as well. Thjálfi, the fastest of runners, loses three times to the boy Hugi. Thor himself is to drink from a horn – yet however mightily he draws, the level barely drops. Then he is to lift the household cat – he manages to raise just one paw from the ground. And in wrestling an old nurse named Elli nearly forces him to the floor. The god of thunder, humbled.
„Now I tell you the truth …:
you drank so mightily that it was a wonder.“
— after Snorri's Gylfaginning (sense after Karl Simrock, 1851, public domain)
The moral is surprisingly modern: even the strongest cannot defeat fire, sea, thought and age – but that he came so close to them at all makes his strength all the more awe-inspiring.

Thor (Donar) · Thjálfi & Röskva · The Midgard Serpent · The Giants · Loki.
Snorri Sturluson, Prose Edda (Gylfaginning: Thor's journey to Utgard, Skrymir, the contests), c. 1220. German public-domain translation: Karl Simrock, Die Edda (1851). Scholarship: Rudolf Simek, Dictionary of Northern Mythology; John Lindow, Norse Mythology (2001).