More or less in release order.  I deliberately skipped over series like Agent of Asgard and most of the recent main continuity in favour of finding hidden issues that give greater context for events like Siege and War of the Realms.

#TitleVolumeIssueRelease DateCover DateNotes
1Thor: Season One (2013)1#1Oct 2 2013Dec 2013This is a weird one that I absolutely love. It's main continuity, but also really, really not. It's a primer for the lore, quickly establishing who the main players are and what makes the world turn. Don't look for a Season Two, because there isn't one. This is part of an ongoing process by Marvel to make it as difficult as possible to get into comics. I'm putting this one right here at the top because if you read this one, you don't have to slog through all those Silver Age comics that can make you want to claw your eyes out from silted dialogue and bizarre art. This is more about the overall lore, and less about the characters, but it's still a fantastic place to start.
2Thor (2007)3#5Dec 28 2007Jan 2008This is where things start to get sticky. It's the infamous "Lady Loki" arc, and whatever you've heard about it from Tumblr, throw it all out the window. This arc is Loki at his absolute most depraved. It has nothing to do with his sexuality or gender, although he may have learned some things about himself during this arc. This is the arc where he steals Sif's body and parades it around half-naked because he can. TL;DR backstory: Ragnarok happened, Asgard was gone, Thor willed himself back into existence, and is on a quest to find all the missing Asgardian souls who have become trapped in human bodies.
3Thor (2007)3#12Dec 24 2008Jan 2009I don't even know how to explain this issue without spoiling it. Loki is a great big back of dicks. Laufey is a great big back of dicks. Odin is a great big bag of dicks. That's basically it.
4Dark Reign: The Cabal (2009)1#1Apr 29 2009Jun 2009Only appears in story #5 "Dinner with Doom." This is one of those random backstory things that was easy to miss if you weren't keeping up with solicits. It helps explain why Loki is such a piece of shit during Siege.
5Thor (1966)1#602Jun 24 2009Aug 2009This issue ends the "Lady Loki" arc, which is not as cute and wholesome as some on Tumblr would have you believe.
6Thor (1966)1#603Sep 30 2009Nov 2009This one isn't about Loki, per se. In fact, he's only in it briefly. The story is about Bill, a human from Broxton who has found himself in the strangest situation possible. But Loki is the one orchstrating all of this, and these few issues are what allow Siege to play out.
7Thor Giant-Size Finale (2009)1#1Nov 25 2009Jan 2010This directly follows Vol 1 #603, and wraps up that bit of the story before leading into Siege.
8Thor (1966)1#604Dec 3 2009Feb 2010Loki is a bag of dicks.
9Siege: Loki (2010)1#1Apr 14 2010Jun 2010This is the issue where all of Loki's plans are finally revealed in full.
10Siege (2010)1#4May 12 2010Jun 2010Loki dies in this issue. It's actually kind of horrific, even though he deserves it.
11Thor (1966)1#617Nov 10 2010Jan 2011The series goes on without Loki for a while, cuz well. He dead. But then Thor gets a big sad again and decides that he misses his brother, and decides to go out and find him again. This begins the "Kid Loki" era, which is still not the same Loki that is running around today. But we'll get to that soon.
12Thor (1966)1#620.1Mar 23 2011May 2011This is a "Point One" issue, which for a while were being used as unofficial starting points in order to avoid launching a new volume. Unfortunately for Marvel, they wound up being confusing as hell and tended to take place somewhere other than the comic it was released after. There is a huge event in here that is impossible to sum up succinctly. Loki runs around with a disembodied hand (Leah) and an echo of his former self (Ikol).
13Journey into Mystery (1952)1#645Oct 24 2012Dec 2012This is the issue that Agent of Asgard keeps making callbacks to, and why Agent of Asgard makes no sense in a vacuum. The whole of Journey into Mystery is well worth the read, but TL;DR, the bird is the version of Loki that blew up in Siege. The kid is a horcrux. Everything is awful
14Young Avengers (2013)2#1Jan 23 2013Mar 2013At this point, Loki almost completely vanishes from the main title, save the odd appearance here or there. He is once again dead, but in a different sort of way. His previous soul has taken over his new body, but the new body is weak and lacks power. Enter Billy Kaplan. This is still not the Loki currently running around. The whole series is worth a read, but I'm not gonna list it all here.
15Young Avengers (2013)2#11Oct 23 2013Dec 2013Loki ages up in this issue, but is still not the Loki currently running around. Soon. Ish. I promise. Agent of Asgard starts immediately following this series' final issue.
16Ms Marvel (2014)3#12Feb 18 2015Apr 2015This issue takes place before AoA #10. It's kind of a goofy one, but Loki starts showing up in a lot of random books once AoA is over, and that's important later.
17Unbeatable Squirrel Girl (2015)1#8Aug 12 2015Oct 2015Also takes place before AoA #10. This is a very brief appearance by Loki, but it becomes absolutely vital that Loki starts making a few more friends who actually like him.
18Mighty Thor (2016)3#2Dec 16 2015Feb 2016This is where stuff gets weird again. There's a lot that's been left out, because this isn't meant to be a comprehensive list. (If you want that, go to the main list and search for Loki; you'll get everything). But this is another area that got very confusing for some people, so here's another quick and dirty TL;DR: Loki is playing the double agent through this entire thing. He's joining the bad guys so that he can counter their plans by covertly building up allies from outside of Norse titles. I'm mostly going to be focusing on those, and will have a full, comprehensive list for War of the Realms soon. This entire arc is worth reading on its own, but it is very much Jane's story, with Loki popping in and out to play his scripted role.
19Ms Marvel (2016)4#6Apr 27 2016Jun 2016All of these appearances in other people's books are completely at odds with what Loki's doing in the main Thor title. It's meant to be a little jarring and confusing, because of what he's doing. We're actually going to see him getting pretty decent at the "hero" thing, which is impressive considering the amount of apparent murder going on in the main story.
20Doctor Strange (1968)1#381Nov 15 2017Jan 2018Wonky numbering strikes again. It may be listed as (2015) in some apps. TL;DR Background: Magic has a cost, and Strange didn't pay the bill. Because of reasons that totally make sense, this attracted the Empirikul, a science cult bent on destroying all magic and martyring the Sorcerer Supreme across all dimensions. Strange defeated the Empirikul by killing the Dragon Lines (the force that binds Yggdrasil and runs magic through the realms) and using their power as a battery. With a war on the horizon, Midgard without magic is very bad. Obviously, Strange cannot be trusted.
21Doctor Strange (1968)1#382Dec 6 2017Feb 2018
22Doctor Strange (1968)1#383Dec 20 2017Feb 2018
23Doctor Strange (1968)1#384Jan 17 2018Mar 2018
24Doctor Strange (1968)1#385Feb 14 2018Apr 2018
25Unbeatable Squirrel Girl (2015)2#27Dec 13 2017Feb 2018Sorcerer Supreme Loki and Squirrel Girl team up properly this time. Her comics are always a delight.
26Unbeatable Squirrel Girl (2015)2#28Jan 10 2018Mar 2018
27Unbeatable Squirrel Girl (2015)2#29Feb 14 2018Apr 2018
28Unbeatable Squirrel Girl (2015)2#30Mar 14 2018May 2018
29Amazing Spider-Man (1963)1#795Feb 7 2018Apr 2018More wonky numbering. Some apps may list it as (2015). Loki continues his shenanigans as the Sorcerer Supreme.
30Free Comic Book Day (Avengers) (2018)1#1May 5 2018May 2018Prelude to Avengers. It's released after #1 because reasons.
31Avengers (2018)8#1May 2 2018Jul 2018This is a delightfully meta callback to Avengers #1, only this time instead of the Avengers forming as a consequence of his stupidity, forming the Avengers is the plan. A lot's happened, the band broke up (like the Beatles), and that war is getting desperately close. So Loki plays his role as the villain to gaslight and manipulate the heroes into doing hero stuff.
32Avengers (2018)8#2May 16 2018Jul 2018
33Avengers (2018)8#3Jun 20 2018Aug 2018
34Avengers (2018)8#4Jul 4 2018Sep 2018
35Avengers (2018)8#5Jul 18 2018Sep 2018
36Avengers (2018)8#6Aug 22 2018Oct 2018
37War of the Realms (2019)1#1Apr 3 2019Jun 2019Oh guess what. He's dead again.
38Unbeatable Squirrel Girl (2015)2#43Apr 10 2019Jun 2019This issue happens at the same time as War of the Realms #1, and shows what Loki is up to right before the whole ordeal that happens.
39War of the Realms (2019)1#6Jun 26 2019Aug 2019So, this one is gross.
40War of the Realms Omega (2019)1#1Jul 10 2019Sep 2019A quick bridge between stories.
41Loki (2019)3#1Jul 17 2019Sep 2019This series is unbelievably confusing and convoluted, but I'm including it because it was obviously trying to set something up. It tried to build a mystery by starting the story in the middle and going back and forth through the narrative, but all it accomplished was being a mess. It's a cute read, but don't expect it to make a whole lot of sense. TL;DR: Loki is king of Jotunheim and he hates it. It's tedious and boring, and he keeps leaving Drrf in charge while he goes back to Midgard to hang out in illegal sky casinos and get wasted. Thor gets fed up with this, and lets him in on a bizarre meta secret that made for funny jokes, but doesn't really work if you think about it too hard. Loki makes a deal to become the God of Stories, with a few promises and caveats. Also, he flat out murders Nightmare in the dumbest way, and goes on another weird adventure with Wolverine, where they are both cowboys. The series got cancelled after five issues, presumably because nobody could understand what was going on. I've included it because all that nonsense is extremely relevant in the current Thor series.
42Thor (2020)6#1Jan 1 2020Mar 2020Where Loki's series fits in relation to this issue is a mystery. Because even though it was released before this issue, it very clearly takes place after. Thor is still very angry with Loki over that whole war thing, and Loki isn't even pretending to try when it comes to being king. This entire run has been very good and I highly recommend the whole thing.
43Thor (2020)6#9Nov 4 2020Jan 2021If I had to guess, Loki's series takes place somewhere before this issue. At this point, Thor has significantly warmed up to Loki, which is odd since Loki wasn't even here for seven issues. But this is the bit where Loki's series becomes relevant.
44Thor (2020)6#14Apr 14 2021Jun 2021One of the promises made in Loki's series has been fulfilled at this point. He is no longer the God of Lies.
45Thor (2020)6#20Jan 5 2022Mar 2022Loki does not play a significant part in this issue, but it's also one of the first times we see him taking his role as king seriously, and playing an active part in realm politics.
46Thor (2020)6#24Apr 27 2022Jun 2022This is the 60th Anniversary issue. Loki plays a rather touching role in the main story, and has his own story that leads into a new series. The side story is cute, but the main one is the one I liked better, because it does show that he and Thor have finally seemed to repair their relationship and can move the hell on with their lives.