The Avengers

[The Artist Formerly Known as Hawk]

Loki himself is not very threatening (he's essentially a bratty teenager with abandonment issues trying to steal his older brothers toys), but the things he plans are threatening. Mainly because his plans all involve manipluating people who actually are dangerous into causing random chaos so he can take advantage of it. He is a trickster god after all.

Of course, if his threat level seems lower in this movie, it's only because he wasn't really the one in charge of the invasion plan, it was Thanos who wanted to unleash the Chitauri on earth, and he didn't seem all that put out when they failed, probably because to Thanos, both Loki and the Chitauri are simply expendable mooks and this invasion is merely a test of earths defenses.