He's Loki.
After Ragnarok, in the original THOR series ... I think, all the Gods were gone. Thor came back (as heroes are want to do) and slowly began searching for the other Gods. Loki, however, came back as a woman. Later, I think in Marvel's event Siege, when the heroes were getting there butts kicked, he found he didn't want that to happen so he used ... something (damn my lack of retention!!) to help the heroes. The bad guy, (the Void) noticed this and ripped him apart.
Later still, Loki has now been resurrected once more, but as a young boy this time.
Man, sorry I took the route over my head to wipe my butt, for the answer. but that is the gist of it.
EDIT - And oh, in answer to your first question ... I am getting the first issue and we'll see after that.
