I got this fragment of a scene stuck in my mind where Loki (who is very blue) is out exploring Midgard and goes to the mall (where people are extreamly freaked). I remember Phil showing up and wondering if he should 'take care of things' at which point Tony(?) shows up somehow and tells him the blue alien is actually Thors husband/wife/intended/brother.
That's pretty much it. Hopefuly someone here knows it! :)