Cause of death: Killed by the demon Surtur during Ragnarok.
By the end of "Thor: Ragnarok," Thor realizes he wasn't meant to stop Ragnarok (the destruction of Asgard), but let it occur because it's the only thing that can stop his evil sister Hela, the Goddess of Death. Hela is one of the better villains in the MCU, with proper motives (I'd be mad, too, if I were imprisoned for hundreds of years and kept a secret by my own father), so it's a little sad to see her go.