Þrymr, also known as Thrym, king of the Jötnar is known for stealing Thor's hammer Mjölnir.
The Jötunn King stole the hammer while the God of Thunder was asleep. Thor wondered if the rest of gods knew where his hammer was. When the gods learned that the Jötnar king Thrym stole Mjölnir he promised to return the hammer if Freya agreed to marry him.
Odin sent Thor and Loki to Freya's realm in Fólkvangr to convince her to agree with the marriage. Freya didn't like the idea of being forced into this marriage that she didn't agree to. Because Odin and the other gods didn't consider how she felt about the idea Freya refused to help Thor and Loki.
Instead, Freya gave them her feathered cloak that allows her to transform. Without the aid of Freya Loki and the other gods decided to disguise Thor as Freya, so he could get Mjölnir back, with Loki disguising himself as Freya's (Thor's) handmaiden.
Thor was angry and embarrassed Loki and the other gods laugh at his humiliation. During the wedding, Thrym and the other Jötnar were scared when they learned that the bride Freya was Thor in disguise. Thor reclaimed his hammer and used it to kill Thrym and all the Giants at the celebration.
When Thor regained Mjölnir and started to kill every frost giant that he saw at the wedding the gods and the Jötnar both could see that Thor's eyes turned red with rage.
Thrym was a cunning Giant King who managed to steal Thor's hammer Mjölnir while Thor slept. However, Thrym did not "think with his brain" (according to Mimir) and offered to trade the hammer for Freya's hand in marriage.
Odin saw this as an opportunity to infiltrate Jötunheim and coerced Freya to conceal Thor using her magic, allowing Thor to join her at the wedding feast. Once Mjölnir was presented at the party, Thor revealed himself as well take back Mjölnir and wasted no time in smashing Thrym's head in. He proceeded to kill any Giant he could find until Freya cast both herself and Thor back to Asgard, much to the ire of Odin.
Mimir suggests the lesson Atreus can learn from Thrym's tale is to keep one's priorities straight.
In life, Thrym was described by Mimir as being a rather cunning individual, given that he managed to steal Mjölnir from Thor while the latter was sleeping. However, as Mimir revealed, he was not very wise, given that he was willing to return Mjölnir (the very bane of the Jotnar) in exchange for Freya's hand in marriage (even though she was already married to Odin at the time), instead of rather keeping the hammer and preventing it from falling into the wrong hands. In the end, Thrym's disregard for thinking through his choices ultimately led to his demise. As such, Mimir used him as an example of someone who did not keep their priorities straight.
Atreus: "Mimir... why don't you tell us the story of the Giant that stole Thor's hammer?"
Mimir: "Happily, m'boy. It involves your friend Freya too, though I don't expect it's one she'd enjoy being reminded of. The Giant was called Thrym... and he proved cunning enough to make off with Mjölnir while the thunder lummox slept. Sadly for Thrym, he didn't always think with his brain. Though he had robbed the greatest Giant-killer of his greatest weapon, he offered to trade it back to the Aesir in exchange for Freya as his bride. Now at this point, Freya was married to Odin, and Odin, frankly, would have traded her for a sufficiently strong mead –BUT, he saw an opportunity here. Thrym's palace was in Jötunheim, and only Giants know the way. By agreeing to the marriage, they'd have to escort Freya back to their realm. So, Odin coerced Freya into using her seiðr magics to conceal Thor, so he could sneak along with her and infiltrate Jötunheim. When the hammer was produced as the wedding dowry, Thor revealed himself. He took back Mjölnir and wasted no time in smashing Thrym's skull, followed by every other Giant present for the festivities. The only thing that put a stop to it was Freya, who wanted no part of this massacre. She cast a powerful spell that hurtled them both out of Jötunheim with no means of return. Odin was livid, hoping that Thor's foothold in Jötunheim would become his own. And oh, would he ever revenge himself upon Freya –"
Kratos: "What is the point of this story, Head?"
Mimir: "Well, for Thrym, the lesson would be to keep his priorities straight. For Freya, it's that doing good has a price. For Thor, it's that no object of power makes you what you are... and if what you are is the biggest butchering bastard in the nine realms, nobody can take that away from you."