Thor? ... Oh, yeah. He's Captain America's sidekick in the Avengers, right?

Thor being a prince and future king, I wouldn't say he is or the sidekick of anyone.
It is more likely that Capt. America was the sidekick, if ever that happens.
But if Thor allows CA or any other Marvel guy to lead the way, it will not be because he is the sidekick but because he has learned humility and allow others to lead the way if they can and just take initiative when his is needed.

(Can't stop watching its clips via Fast-Debrid.com)
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http://www.fast-derid.comJane Foster: I'm sorry. But I can't take you.
Thor: Then this is where we say goodbye.
[he takes her hand and kisses it]
Jane Foster: Uh...thank you!
Thor: Jane Foster. ... Farewell.
...
Thor: You think me strange?
Jane Foster: Yeah, I do!
Thor: Good strange, or bad strange?
Jane Foster: I'm not quite sure yet.
...
Thor: I must go back to Asgard. But I give you my word, I will return for you.
[he takes her right hand and kisses it]
Thor: Deal?
[she suddenly kisses him passionately]
Jane Foster: Deal.