In Thor
-In the battle on Jotunheim he creates a copy of himself to avoid being run over by a frost giant
-In the battle with Thor at the end he tricks Thor and annoys him while they're fighting
In The Avengers
-In Stuttgart he changes his appearance a few times
-On the helicarrier he makes a copy of himself to trick Thor into going in the locked room
-In NYC he changed his appearance again during the battle
In Thor: The Dark World
-In prison he visits with his mother, though it's unclear whether the illusion is made by Frigga, Loki, or both of them
-In prison he creates the illusion of a tidy appearance when Thor visits
-Walking out of prison with Thor, he jokes around with different forms, including a guard, Lady Sif, and Captain America
-In the battle on Svartalfheim he tricks Malekith so Thor can attack the Ether
-Later, he pretends to be killed (or did he heal himself? it's not clear what exactly happened)
-After the battle on Svartalfheim, he pretends to be a guard to return to Asgard
-At the end of the movie, he pretends to be Odin
