The Thor movie trailer came out recently, watch below and then scroll down further for my thoughts.
It seems they are indeed going with the method I and many others thought would be the only way. That is, make it seem like it could just be a case of the guy who claims he is Thor to be thought of as crazy by everyone else. After all, this movie takes place in a real-ish world. I mean, someone like Iron Man could be possible, a tech genius making a suit. Captain America? Why, that's just a guy pumped full of experimental drugs. Thor though, a God of thunder? That just don't wash in a realistic world. Hence, going with the fun dynamic of the fantastical possibly just being crazy-hallucinations and the "real-world" featuring Thor as some guy who might just be really tough and crazy. I like it.