The difference being that the Hellboy franchise never even attempted to be realistic.
Both Iron Man and (from what I can tell as I've yet to see it) The Incredible Hulk try to present these fantasy/sci-fi stories as though they could actually happen, and try to make everything look and feel as realistic as possible. Considering Thor is part of the announced Avengers franchise that Marvel is working on, it only makes sense that they'll go the realism route with him as well.
That approach really poses a problem when you take in to account that his backstory happens to be that he's the son of a Norse god...but hey, who knows. I'm sure they'll pull it off somehow.
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"There is always some madness in love. But there is also always some reason in madness." - Friedrich Nietzsche
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