After killing Lofrey & confronting Thor in Odin's chamber, Loki rides to the Bifrost. He is wearing his horned helmet while riding (as he was in Odin's chamber). He then places his staff in the keyhole to open the Bifrost, but it can clearly be seen that he is NOT wearing his helmet. There is a brief cut scene, then back to Loki as he steps away from the keyhole & casts a spell to cover it in ice...he is once again wearing his helmet!