I'd say the core for Thor is the penetration boots and focused voidblade. You'll be in melee and vs other assassins, (which Thor isn't), you'll want some physical protection.
From there it depends on the enemy team composition, your composition and how well (or poor) your farm is. I'll give some good choices below. Admittedly I can't remember all the names and I'm on my phone.
The physical power item with magical protection is good for any bruiser and a solid choice. Shield something I think it's called.
For more damage, the sword with crit and power. Deathbringer maybe.
Hide of the nemean lion if you're facing a physical based team with a high attack speed and is auto attack focused eg Apollo and Loki. This is the perfect item to counter them. It has no physical power itself though, but its good, if situational.
The item with 33% physical penetration as a last item if the enemy team is focusing on physical protection. It's only worth it as the last item.
Cool down reduction is a very strong choice. The blue spikey mace is good on Thor. Offers reduction, power and penetration. I'd get this as a third item possibly.