Which error is this?

[GrandizerII]

It's an unfounded premise.

1) If Thor does not exist then thunder does not exist. <--- Why assume that this is true?
2) Thunder exists.
3) Thor must exist.

That's entirely sound and a decent example of denying the consequent. If Thor is the only possible cause of thunder then the existence of thunder logically requires the existence of Thor.

But it depends entirely on the validity of P1. The instant that you introduce the possibility that thunder can exist without Thor then denying the consequent fails and the argument collapses.

So what is the difference between the unfounded premise and circular reasoning?

Is it that circular reasoning also contains unfounded premise, like

The difference is that a non-circular argument can also have an unfounded premise. It is not exclusive to circular arguments.

And even if you want to argue that the argument stated in the OP is circular, there is still nothing wrong with the structure. A circular argument can still be logically valid.