The Immortal Thor Vol. 5: Death of the Immortal Thor TP

The story ends...

The hour had come for the Odinson, who stood before the gates of the Utgardhall and his final death – the death he fought for. Many challenges awaited before the end. Skurge the Executioner with Bloodaxe in hand and ready for battle. The Utgard-Loki who the Odinson had never yet defeated. Nrgl, Lord of Murder-in-Darkness in his own place of power, the beast at the center of the maze Kemur who was bull and hawk and serpent, who was fire and the sword. Alone stood the Odinson between the Gods of Utgard and all they would break asunder. And at the end of his tale, Thor Odinson strode into Vidblainn, third land of the dead, from whence nothing could return. Where one last time he fought for justice against the great Serpent to decide his fate.

Collecting IMMORTAL THOR #21-25.