I'd recommend books that collect issues, or Marvel Unlimited, if you don't mind reading your comics on digital.
For Thor, I'd recommend J. Michael Straczynski's run. It's probably closest to the movie Thor. Though my favorite is, of course, Walt Simonson -- and that would be a good one too, now that I think about it.
For Jessica Jones, the Bendis Omnibus of Alias. Though it may be collected in two paperbacks, now. It has some Luke Cage in it.