Other superheroes have all sorts of nifty weapons and powers. Even Captain Canada occasionally wields a broken beer bottle - Molson, I believe. And I hear Captain Antarctica has a mobile penguin launcher that does all sorts of damage. Captain America doesn't even have a utility belt. How can you expect to be a superhero with just a shield and no utility belt?
I've always felt that Thor was pretty lame as a superhero. But at least he's equipped with a hammer. When he's not clubbing criminals with it, he can use it on odd jobs around the house and can also make some pretty big holes in stuff. (The whole flying gimmick, in which he supposedly throws the hammer and then quickly grabs the handle to be carried along with it, is a bit of a stretch though.)
However, Captain America just has this big, colorful shield. And, at the first sign of trouble, he THROWS IT AWAY! I'm sure he gets a lot of ribbing from the other superheroes about that.