Well, he is going after the throne in Thor1. It starts out with him scheming to take Thor's place as heir to Odin's throne. He sabotages the naming of Thor as heir by leading the frost giants into the vault. Then he manipulates Thor into going against their father's orders and attacking Jotunheim (while making it seem as if it's Thor's idea and he's the one trying to stop them). Even when the battle begins, he makes it seem as if it's all Thor's doing and that he was trying to prevent it. This leads to the culmination of Loki's initial plans, with Thor being exiled.
Everything he does from then on is just to cement his place as heir to the throne, from crushing Thor's spirit to keep him in exile, to having the Frost Giants attack just so he can be the one to save Odin, to trying to destroy Jotenheim so that noone can reveal his double cross.
At the end, he claims not to have ever wanted the throne, but, considering his goals in the later movies, I'm not sure if that's true.