As for explaining what they are, and their inter-relation – especially in the context of the Marvel version of Thor – I could grab my crayons and do my best, or simply link to the excellent Wikipedia entry on the subject here:
Since we see in a flashback that Baby-Loki is picked up by Odin, and begins to switch to a human appearance immediately, that some aspect of Odin’s magic, or “Asgardian Magic” more generally, causes Loki to appear Asgardian.
Conversely, it could be that Jotunheim itself, and the Frost Giant magic, bestows the blue skintone to its inhabitants.
A few corroborating points to this theory:
While fighting on Jotunheim, Volstagg is injured, and his wound turns bluish in color;
When Loki is attacked, his skin turns blue while his attacker is holding him, and then reverts once he is let go.
When Loki lifts up the magical blue cube which contains the Frost Giant magic, he slowly begins to turn blue, only reverting to Asgardian appearance when he releases it.
My personal theory is that, if relieved of his Asgardian clothes and weaponry, and left on the Jotunheim “planetoid”, Loki would indeed slowly revert back to his naturally blue “Frost Giant” appearance, though whether or not he might begin to grow in stature to become a full-on Frost Giant is still doubtful.
It’s not that such a bridge cannot be rebuilt, but rather that in this version of Asgard, at least, it cannot be “magically” rebuilt with a wave of Odin’s hand.
Given how the “bridge cannon” itself seems to work, there seems to be some form of scientific basis around wormhole and/or teleportation theory (and throughout the movie, as much is said). The technology to establish such wormholes seems to have existed in but one location on Asgard – whether that is a security measure to ensure a single route for any large scale invasion, or due simply to the massive energy resources required or other unseen operational costs remains unknown.
The ending makes it pretty clear: Thor will next be seen in The Avengers, and in order for that to happen, he (or perhaps his new flame Jane Foster) will need to find a way to bridge the worlds once more. My guess is that restoring the Bifrost bridge will take approximately 1 year of godly effort – or just in time for Thor to appear onscreen next to the Hulk, Captain America, and Iron Man(*).
(* Just as likely, this plot point will be completely ignored, giving fans yet another thing to discuss once the ensemble movie is released. 😉 )