Definitely Thor. Their complex relationship always adds depth to any story. You can explore their brotherly bond, rivalry, and how it changes in the context of 'The Dark World'.
One idea could be Loki having to team up with an unexpected ally from Asgard's underworld to stop a new threat that emerged during the events of 'The Dark World'.
The relationship between Loki and Thor is also frequently explored. In the Dark World, there's a lot of tension and history between them. Fanfictions might show them reconciling, or further straining their relationship, and how this affects the overall story of the Dark World.
Sure. One great Loki Dark World fanfiction is 'Loki's Redemption in the Dark World'. It delves into Loki's internal struggle during the events of The Dark World, exploring his complex relationship with Thor and his own motives in a really interesting way.
Another plot could be a what - if scenario. What if Loki didn't fall into the abyss in The Dark World? He could have used his trickery to manipulate the dark elves in a different way. He might pretend to side with them at first to gain their trust and then double - cross them to save Thor and Asgard. This would show his complex nature and his loyalty to his home, in his own twisted way.
One idea could be a fanfiction where Loki uses his magic to cover up his own dark circles. Maybe he's been up all night plotting against Thor and is trying to look his best in front of the other Asgardians. He could accidentally create a spell that gives everyone in the palace dark circles instead.
A female Master of Death in such a fanfiction might have a complex backstory. She could have been an ordinary girl in one of the universes, but through some extraordinary events, she gains the title of Master of Death. In relation to Harry, she could help him understand the true nature of death and its implications in a way that Dumbledore couldn't. With Loki, she might be both an ally and a source of mystery, as Loki tries to figure out how to use her powers for his own ends.
In a fanfiction, Loki could form an unlikely alliance with the Grandmaster. Maybe they both have a common enemy, like a powerful intergalactic force. Loki, being the sly character he is, and the Grandmaster, with all his resources, could team up. Their interactions would be full of banter, with Loki constantly trying to manipulate the situation and the Grandmaster trying to keep Loki in line while still using his skills.
Thor might initially go into denial. He can't believe that Loki is truly gone. He may hold Loki's body for a long time, as if waiting for him to come back to life. Then, he could become angry. Angry at the situation, at whoever or whatever caused Loki's death. Eventually, he may find solace in the memories of Loki. Remembering the good times they had together and using those memories to move forward.