There's a secret message about Odin's dark past that we all might have missed in the first Thor movie. To be honest, there was no real way we could have noticed it until Thor: Ragnarok came out, so you're entirely forgiven for missing it.
But now, thanks to a clever post on Reddit, the secret might have been revealed. And it answers the question of why Odin would have made his adopted son Loki look so much different to Thor if he wanted them to believe they were actually brothers.
The theory points out that Odin had the power to change Loki's physical appearance so that his past on Jotunheim wouldn't be immediately obvious - even to himself - and yet he still chose not to make him the same blonde bombshell type as Thor. Instead, he went with the dark-haired, emo look from Loki in the comics, but it wasn't simply a matter of making him comic-accurate.
It suggests that Odin actually made Loki look as he did in tribute to his other lost child...
"We find out in Ragnarok that Odin had imprisoned his eldest child Hela, when he became fearful of her ambition and willingness to kill in order to control more realms. He felt this act was necessary, but was still saddened by the fact that he had to lock away and basically erase the existence of his beloved eldest child."
The suggestion here is that Odin missed his daughter so much that he consciously modelled Loki on her - perhaps also unconsciously expressing his awareness that Loki had the potential to end up like his sister thanks to his genetics.
"Loki grew to be slender in build, with black hair and green eyes. Just like Hela... Odin chose to give Loki these features in remembrance of the child he was forced to lock away, as he knew he could never see her again."
It's actually pretty touching, particularly as it fits with Odin's regret at having to deal with Hela as he did. And it definitely adds a clever secondary level of depth to Loki's turn to evil. It's almost like Odin foreshadowed his son's turn on him and his own eventual death. It's almost like he knew that Loki would be destined to repeat his sister's story, so he marked him from that day forward.
If you think of it that way, his decision not to simply kill the offspring of his vanquished enemy becomes even more tragic. Odin was unwilling to kill the baby because he had already had to effectively kill his own child in Hela, so he couldn't do it again. And yet he also seemingly knew how the child would grow to bring about his downfall.
Perhaps that's why he seems so forgiving of Loki when he manages to enchant and banish him in the run up to Thor: Ragnarok?