I'm actually really glad they didn't go this route (using CGI or extremely lightweight materials). To me, when you start to use less than authentic materials I think you can run the risk of loosing something in the performance. The helmets have weight, the costumes have weight. I'm pretty sure in an interview (might've been for Thor) Tom said that despite the 30+ pounds (or whatever) of costume, it actually helps him with the character.
I remember when I went back for the 2nd viewing of Avengers, as I tried to notice the 'little' things, one thing that stood out to me in the Stuttgart scene with Loki is the way he holds himself and moves with those horns on his head. There's just something about it. Or the way he brings his head up after Cap used his shield to ricochet Loki's own blast back at him, I'm going to be serious, he reminded me very much of a bull wanting to charge forward. Had the helmet been a lighter weight, would we have gotten those interesting subtle movements? Maybe... maybe not. I know actors are good at pretending something is something that it's not, but sometimes you just really need that weight to bring...well... weight to the performance.
Just my opinion though
Fine, I'll be honest, I do prefer the way he looks without the helmet. If they want to keep the helmet for ceremonial purposes, fine. But I have no aversion to saying that I'd prefer them to keep it off the rest of the time.