BETA RAY BILL
There's probably no peripheral character to the Thor universe that fans are more demanding to see onscreen than Beta Ray Bill, aka "The Alien Thor."
Long story short: Walt Simonson, often regarded as the greatest of all Thor comics writers, began his now-legendary 1980s run on the book with a story where Thor confronted a crashed spaceship and clashed with a frightening alien creature inside, Beta Ray Bill. During the battle, Thor is separated from Mjolnir and Bill tries to scoop the hammer up himself... and does, immediately finding himself imbued with the Thunder God's powers (and armor) and spirited off the Asgard.
As it turns out, Bill is a good guy: An alien sworn to protect his starlost race from evil. After some back and forth, Thor gets his hammer back but Bill gets a Mjolnir-esque weapon of his own from Odin that allowed him to keep his powers.
Once, I might've considered him showing up in the Marvel movies to be pretty unlikely. But now that a meetup between the Avengers and the spacefaring Guardians of The Galaxy is all-but inevitable? I'd love to see this guy turn up.