In the film 'Thor', after a final confrontation with Thor he allowed himself to be sucked into the wormhole he created. However, in a post-credits scene an invisible Loki is seen prompting Selvig to agree to look at the Tesseract, which Nick Fury has given him. In 'The Avengers', the Other, the leader of the Chitauri, promises Loki a Chitauri army with which he can subjugate the Earth. While Selvig and team of scientists are working on the Tesseract at a S.H.I.E.L.D. facility, it suddenly activates and opens a portal, which allows Loki to reach Earth.

In a way, yes. The Avengers has many sets throughout the entire movie, all over the world. However, the memorable climax of the movie with the Avengers vs. Loki and the Chitauri is set in New York, specifically Manhattan.