What's the importance of Santa Fe in Thor?

The importance of Santa Fe in "Thor" is that it is Thor's place of exile after he is banished from Asgard by his father, Odin, and creates a sense of a downfall for Thor. Compared to the visual beauty of the kingdom of Asgard and his status as a prince, New Mexico is modern, low-key, and a place where he can live as an ordinary mortal. Also, it's the same place where Odin throws the Mjolnir (the hammer) on Earth, and where Thor (now a mortal) tries to regain possession of it at a SHIELD-operated facility. However, the Mjolnir can't be erected from the stone due it obeying a voice command that only those who are worthy can yield it. When Thor selflessly battles the Destroyer later on, the Mjolnir recognizes his worthiness, and helps restores his powers.

This is without mention that in terms of the monomyth (hero's journey), Santa Fe is where Thor receives his "supernatural aid" in Dr. Jane Foster, Darcy Lewis, and Dr. Erik Selvig. After Thor returns to Asgard to battle his treacherous brother, Loki (who sent the Destroyer), he destroys the Bifröst (a bridge that connects the Nine Realms to Earth) stranding himself in Asgard and leaving Loki on Earth. At the end, Jane, Darcy, and Selvig try to use their science to recreate the Bifröst.