It used to be that Donald Blake was Thor's alter-ego, so that Thor would learn and understand how to be humble as a paralyzed doctor. Under JMS, Donald Blake was his own personality that was "bonded" with Thor or something.
@haveatthee: Not quite, as Blake explains it at the beginning, he is around because Odin made him and because of the relationship between Gods and Mortals, Odin would never be able to unmake him which is put like this;
"It is not for Gods to decide if Man exists, it is for Man to decided if Gods exist."
Odin could ofc kill Blake with the wave of his hand, but he could never make it so that he never existed (since quite a lot of people would still remember Blake).