Mjolnir. One of the most powerful weapons in all of comicdom. Wielded by the Mighty Thor, if you've read comics long enough (or Wikipedia), you know how the hammer came to be in the Marvel Universe. But, the origin has never been explained in the Marvel Cinematic Universe. In fact the only thing we know about its origins is Odin's cryptic "forged in the heart of star" line from the movie. So, how was Thor's weapon created? Why did Odin have it forged? Here's one possibility.
Here's a realm that has yet to be introduced in Asgardian cosmology in the MCU. The literal polar opposite of Jotunheim, home of the Frost Giants. Muspelheim is a place of fire and misery (if you're not a fire demon, of course). It could be described by Asgardians as what Earthlings would call Hell. So, if you have Hell, you have to have a Satan to rule it, correct?
Now this is a mean, scary dude. He's the absolute ruler of Muspelheim. He's crushed all opposition to his rule in the realm. Anyone who thinks about opposing him here, better apologize. He has the power of a god, more power than most of them in fact. And, he's completely committed to laying waste to the cosmos, particularly Asgard. Why such a hatred for Asgard? Surtur is the disgraced and exiled brother of Odin. Cast out of the golden realm by his sibling, Surtur and his followers retreated to the fiery realm and conquered the land. No longer feeling any kinship to their native Asgard, they changed their appearance through the power of magic and engineering to look nothing like their former brethren. Surtur took the most unique appearance of all as a way to break all ties with Odin.
After regrouping in Muspelheim, Surtur and his reconstructed army declared a bloody, brutal war on Asgard and set fire to much of the heavens. Ancient populations on Earth described a time of when fire fell from the skies.
So brutal was this war, Odin did the unthinkable to end it. He used the power of the Tesseract to subdue Muspelheim. After seemingly obliterating Surtur with the Tesseract, Odin effectively ended the war.
Shaken by the experience, Odin crafted a plan to protect Asgard from future threats from Muspelheim and other sectors of the universe. What better way to do this than to create a weapon from Surtur's fiery forge (the heart of a star). Thus, Mjolnir is born. A weapon that Odin can use in times of crisis and one that can be passed along to the heir to his throne. Although apparently destroyed, Surtur has deceived Odin before and Asgard must be prepared for his possible return.
So there you have it. One possible origin of the mighty hammer, Mjolnir.