Thor and Loki working together. Only in a Lego game. As soon as you start, smash the rock in front to reveal a pool of water blocks. Freeze them into an ice cream catapult with Loki and use his telekinesis to fire it. This creates a ramp to the upper left area.
Head up the new ramp and use the blocks up there to build a heater. Swap to Thor to charge the electrical panel. This will melt the wall nearby and leave it aflame. Swap back to Loki, douse the flames with his Ice Beam and then back to Thor to smash the cracked wall. This will reveal a telekinetic rock that Loki can raise to reach the top area. Climb up and use telekinesis on the gate chain to partially open it.
Swap to Thor and fly up to the right side to find a cracked wall to smash. This will drop you into a cave below. Inside is a pushable lever that will open the gate nearby, letting Loki up to that level. Fly back up and land on the black rock (the tall bit) seperating the lower and upper area division (not the ground floor, the upper right side).
This will sink down, letting Loki jump up to the top area. Quickly swap and jump up as Loki and turn the telekinetic handle to open the huge gate.
Malekith will now confront you (by staying out of reach on a floating platform). Use Thor's thrown hammer to demolish his footing and leave him vulnerable on the ground. Take the chance to beat him up and he will float up again. Repeat this two more times and the level will end.
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Stan Lee – Held in a set of magnetic jaws to the right of the large gate. Use a magnetic based character to pry them open and eject Stan.
Character – Thor (Classic): On the right side of the area is a bunch of silver lego blocks. Blow them up with an explosives character to reveal the dig spot below. Dig away to find the character token.
Red Brick – In a frozen over mouth-like gate near the large gate blocking Heimdall. Use a flame based character to melt it open and obtain the red brick.
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True believer (30,000 studs): Collect the specified number of studs during the level to obtain a gold brick.