You know what I'd like to see as a "wow factor" moment for Thor:
Ultron has Mjolnir blocked somehow (he finds a way). Thor is face-to-face with Ultron when he realizes he can't call on Mjolnir. He says "The hammer is a preference, not a requirement," and he lifts his bare fist to the sky and charges
himself up with lightning. Then he proceeds to brutally pound on Ultron with lightning-charged fists.
EDIT: and just to be clear before anyone calls me on it, something like this has been done in the comics (although rarely), and it would be cool to see it done on screen.
Not just in the 60's:
But also more recently in Jason Aaron's Malekith arc: