Bifrost Bridge

The Bifröst Bridge is a magic rainbow bridge in Asgard guarded by the warrior Heimdall, the omniscent god. It's a link between all the Nine Realms of the Norse cosmos, but can be opened only if Heimdall permits it: the bridge is in fact much too powerful, and it would destroy all realms if left opened.

Thor
Thor, Loki, Sif and the Warriors Three use Bifrost to reach Jotunheim and attack the Frost Giants by surprise. Later, Loki uses Bifrost again to Jotunheim to ally himself with Laufey, and Sif and the Warriors Three use it to reach Earth and take Thor back to Asgard. In order to prove himself worthy of the throne of Asgard to the eyes of Odin, Loki wants to use Bifrost to completely destroy Jotunheim, and he opens it after freezing Heimdall and killing Laufey; during a battle between the brother gods, Thor chooses to destroy Bifrost, so preventing the annihilation of the Giants. Loki falls from the bridge presumably to his death. Thor believes that with the bridge gone, there is no way to travel back to Earth and therefore to see Jane again. However, Heimdall hints that there is still "hope".

The Avengers
When Thor first confronts Loki, briefly freeing him from the Avengers' imprisonment, Loki notes that the Bifrost is still clearly gone, and that the only way Thor could have returned to Earth is if Odin had conjured up some "dark energy".

Thor: The Dark World Prelude
After Thor returned to Asgard with Loki and the Tesseract, he and Heimdall used the Tesseract's power to rebuild the Bifrost.

Trivia

 * The Vikings believed that rainbows are how the bridge appears on Earth when the Gods are travelling to Earth. Although the traditional bridge was restricted only to Earth and Asgard, the film's interpretation is able to transport Asgardians to any of the Nine Realms.