When we left Thor at the end of Ragnarok, he was the new king of Asgard, without Asgard actually existing any more (well, not in a physical sense anyway), and was leading his refugee people to Earth to start a new home. He was missing an eye after an altercation with his sister Hela, had his hair all cut off by Stan Lee and was without his trusty weapon Mjolnir after she destroyed that too.
Crucially, he also now knows how to wield his lightning powers without a weapon, which should make him even more powerful. Also, he has a new girlfriend, sort of.
Putting aside how different he's going to be to any MCU fans who skipped Ragnarok, Thor is going to be the character with the biggest change to undergo right at the start of Infinity War. As the post-credits stinger for Ragnarok revealed, he's just come face to face with Thanos and as the Infinity War trailer confirmed, he's going to end up floating through space immediately afterwards.
Rumour has it, his people will think him dead after his first encounter with Thanos, which will lead him to being rescued by the Guardians Of The Galaxy. So essentially, for this movie at least, Thor is going to be a Guardian member and will embark on a mission to find himself a new weapon - the thunder-axe Stormbreaker (with some help from Groot).
Presumably, he's already forgotten he knows how to harness his powers without a weapon...