As a disclaimer, I am not an expert on Loki! A lot of Marvel stuff retcons itself anyway so it's hard to give definite information about any of it. My knowledge is pretty limited, and things can get a little confusing~ So don't take anything I say for 100% fact...
Also, to clarify, this information is obviously about Marvel Loki, not the actual norse god. I don't know shit bout that guy. (I also don't know how much actual overlap there is between current Marvel lore & Norse mythology, but I assume not too much).
Loki is a ~god~ from Asgard, one of the 9 realms in the universe. Earth is also one of these realms, known as Midgard. The realms are all connected by Yggdrasil, aka the world tree or tree of the world. Earth and Asgard are also connected via the Bifrost, a rainbow bridge!
The idea of "gods" is interesting in this case, because the Asgardians aren't really gods, though that might depend on your own definition of the word. They're more like... superhuman aliens. Anyway, what matters is that they were worshipped as gods by ancient Viking folk. One myth is that Odin created the first two humans, though there are other human-creation stories as well, so who knows which one is true?
I mention this because I feel like it's an important concept to establish right away. Loki being the god of mischief and lies is because the Earth folk he met gave him those monikers. A huge theme of modern Loki, especially in the comics but also a little in the MCU, is the idea he's "trapped" within the confines of these titles. And, sure, there is certainly power to belief - if everyone sees Loki as god of trickery, then does it really matter if he no longer is? - but it surely gives a bit of leeway. An opening. The potential to change...
Moving on...
An important and VERY early spoiler is that Loki is actually the son of Laufey, the leader of the Frost Giants on Jotunheim, another one of the 9 realms. Tbh I always forget how to pronounce Laufey's name - for reference, I BELIEVE it's "lou-fay", with the "ou" sounding like "house". Hence Loki's last name being Laufeyson, rather than Odinson like Thor. However, Laufey abandoned Loki as a baby because he was small and inferior to the other giants :( So when Odin discovered Loki in the midst of a battle with the Frost Giants, he adopted Loki and brought him back to Asgard. As you might expect, this fucks Loki up when he finds out...
For all intents and purposes, Loki's father and mother are Odin and Frigga (also known as Freyja/Freya, but I'll be using Frigga for consistency), respectively. Thor is Loki's older brother (though this notion gets contradicted at times). As I mentioned before, Loki is considered to be the god of trickery, lies, mischief, and later EVIL :O
A cool fact about Loki is that he is quite apt in sorcery and magic. He can teleport, shape-shift, astral project, conjure stuff, and more! In my opinion, they really don't do his magic abilities justice in the MCU, but in the comics he's shown to be a real adversary and one of the strongest sorcerers ever.
Another really cool aspect of Loki that has not been addressed very much in the MCU but is definitely a core part of him in the comics is that he is genderfluid. Though most of the time we do see a male-presenting Loki, there are times when she is female-presenting as well! He can be a man, she can be a woman, they can be a fox, even! I know a fox does not quite apply, but I think it further emphasizes the idea that Loki is simply... Loki. In all forms. As anything. The comics do a really wonderful job with this, and though I hate to make it a big deal, the fact that it isn't a big deal is what makes it so fantastic.
Anyway, with all this in mind, I am still going to refer to Loki with he/him pronouns for the most part (like I said, he is male-presenting like 95% of the time) but will use she/her when referring to female-presenting Loki! This is how Marvel refers to him as well; if they ever do establish Loki to primarily use they/them pronouns, I'll certainly use those :3c
At the end of the day, I just think it is important to note that Loki is ALWAYS Loki. There is no difference other than their presenting gender. Some people have this idea of "Lady Loki" as a seperate entity. No. It is the same Loki, it is always Loki.
Loki is also pansexual, though this is hardly explored, in both the MCU and comics. Lame.
Anyway, I think that's all the important stuff out of the way. I'm sure I'll come up with more later as I continue reading. Any other information I'll establish on their respective pages. Weeee!!!