In the middle of The Avengers, the team is split up after coming together on the S.H.I.E.L.D. Helicarrier. Bruce Banner/Hulk end up in an abandoned warehouse. Thor ends up in a field. Shortly afterwards, Tony Stark determines Loki's next destination, Stark Tower. This information is never transmitted to Banner or Thor. However, both of them show up in New York City and join in the climactic battle. How did they know where to go?
How Bruce Banner found the Avengers:
When Banner was aboard the Hellicarrier, his gamma ray search algorithm had worked out where the Tesseract was (Stark Tower), but before he could tell anyone Loki's machinations kicked in and he turned into the Hulk. After he went back to being Bruce Banner, he just found his way to Stark Tower, where the rest of the Avengers had assembled.
How Thor found the Avengers:
This one's a bit more problematic. Thor seems to have the ability to track down Loki. Witness how Thor knew Loki was held inside the jet after he was captured by S.H.I.E.L.D.. How he does that isn't known. So I'm assuming that, however he does it, Thor simply tracked down Loki to Stark Tower.
Thor magically knew where to find Loki the first time, when he abducted him from the Quinjet. I suppose the same magic could have helped him find Loki the second time, too. (Perhaps Odin infused Mjolnir with some sort of spell to track Loki quickly.)
As for Banner, that one's actually easier to answer. He's the only one who saw the location of the Tesseract on the helicarrier's computer screen, just before Hawkeye blew up the engine.
To elaborate a little Banner was brought in initially to trace the gamma signature from the Tessaract. So i think he would've been easily able to spot the place where the show down is going to be by tracking those gamma signatures of that Loki's sceptre.
As for Thor he is an Asgardian and brother of Loki plus he is the guardian of Earth. So he could've easily sensed the interference and the opening in the sky which brought Loki's army.
I am pretty sure about Banner because Nick Fury points out in the movie that Banner was tracked to join the team to identify the gamma signature from the Tessaract.
Before Hawkeye's arrow explodes, Banner is the one member of the team who walks over to the screen as sees the location of the Tesseract. He never gets the chance to tell anyone else.
I don't know about Thor. I found this page by searching for the answer to that question. i think the theory that he can find Loki is a good one, since he found him on the place (as stated above).