I've read one ages ago: like in the first Thor movie, the group travelled to Jotunheim.
Loki got injured and during his recuperation the truth came out - that Frigga and Odin adopted Loki, so that he wouldn't have to be sent away as a royal bastard. Thor agreed because he wanted to see his son grow up. There's a scene with Sleipnir too, I think Thor and Loki have their big talk about the truth in the stables.
If anyone could send me a link to that one, I'd really appreciate it. ^_^