Question: *Spoiler alert* Towards the end, Loki goes into Odin's treasure vault to get to the Eternal Flame and summon Surtur, who then destroys Asgard. We don't see Loki being rescued from the treasure vault. Thor assumes he is dead because he seems to be saying goodbye on the ship that has everyone escaping Asgard. How did Loki escape while everything was on fire?
Answer: In the shot at the very end of the spacecraft the Asgardians are on (after we know Loki is OK) we see the ship they stole from the Grand Master docked to the top of it. Loki flew that ship to the vault, presumably landed as close as possible, placed the crown in the eternal fire, and in the brief time it took for the fire demon to grow, had time to escape the vault, get back in the ship, and fly to safety. I thought Thor was assuming Loki would choose to go his own way rather than rejoin the others, and was pleasantly surprised that he decided to come along too.
Answer: He may have used the Tesseract which has been in Odin's vault since the end of The Avengers, which we know can be used to teleport from one place to another.
Question: Has anyone counted how many rounds Skurge fires near the end? They seem like regular M16's with only a 30-round magazine in them, and it seems like he shot off more than 60 total rounds. Plus he said he got them from Texas, so it's not like they were enchanted Asgardian weapons. Or do the comics mention anything about earth bound weapons gaining some sort of extended/unlimited ammo capacity that this scene is a nod to?
Answer: There's no mention in the movie that the weapons have been enchanted or improved so it is probably just the usual heroic movie convention of 'bottomless magazines'.
Question: Loki was very edgy when Thor returned to Asgard and while I know why, why didn't Thor see through his disguise when he went to Asgard at the end of Age of Ultron?
Answer: Loki, in the guise of Odin, might have instructed Thor to go to another world when he returned to Asgard. What tipped Thor off that Loki was impersonating Odin in this movie was Surtur previously telling him that Odin was not on Asgard, and then Thor returning to Asgard to see Odin with a carefree and hedonistic attitude despite the Nine Realms having plunged into chaos, all the while watching a play that was glorifying Loki.
Answer: If other people are worthy, they can gain the power of Thor (this is something that has happened in the comics), but Thor can muster that power alone. In his case, the hammer simply allows him to focus his powers.
How come then that in the first movie when Odin wants to remove Thor's power he "confiscates" Mjolnir? If Thor's power is intrinsically inside him, how could Odin remove it? Then, he reacquire those powers only after holding Mjolnir again, which implies Thor's powers come from Mjolnir. This is poorly explained in the movies.
Epigenis
"Poorly explained" doesn't make it a mistake. Odin suppressed Thor's innate powers and removed the hammer both symbolically and to prevent Thor from using it to reacquire his powers.