During the movie Avengers, we are first introduced to Thor when he crashes the party on the plane, taking his brother Loki to get the location of the Tesseract from him. How did Thor know that Loki was on the plane?
Thor seems to have some unstated capability to track and find Loki. He knew exactly where the S.H.I.E.L.D. jet carrying Loki was when he intercepted it. Then later in the film, after being dumped out of the Helicarrier, he knows to go to New York City to stop Loki. If he is capable of always finding Loki, it explains both of these.
Heimdall, (guardian of the Bifrost aka rainbow bridge) can see all, thus he tracked down Loki's exact Location and directed Thor to Loki. Odin used dark energy to transport Thor to earth since the rainbow bridge is destroyed.
If you watch the scene closely when Thor and Loki are arguing a top a mountain after Thor takes Loki from the plane. You can clearly see Odin's two Ravens Huginn and Muninn flying by. So Odin is aware and present during their argument... Brilliant move by the film maker.
Also Oak trees are representative of Thor in ancient Norse mythology. Which just happen to be surrounding Iron Man and Thor as they fight.
This movie is full of geek win.
It is not stated in the movie, however one can assume one of the following:
From the events in Thor that Heimdall the all seeing gatekeeper of the rainbow bridge Bifrost was able to "see" Loki and keep tabs on his location. After Loki appeared on Earth Thor needed time to prepare a way to journey to Earth (I assume that the rainbow bridge had been repaired between the events of the two movies)
Thor has access to some device that is able to track the Tesseract when it is active. Since it was not active until Loki transported to Earth. Thor was unable to track Loki until the Tesseract was active.
The Tesseract is a crystal ball only when is became active was when Thor could again see what Loki was doing
Some being told Thor, Loki was alive and on Earth
Thor is technically a god