How are Odin and Loki related? In some places I read that they're siblings, in the movie it's father and son I think
The Marvel characters are not the real mythological characters and resemble the actual portrayals of the Norse gods in almost no ways beyond the superficial (name, vague powers).
So any and all information you get from those "movies" you can safely ignore.
Wikipedia actually has the real information, when it notes that the Þrymskviða refers to Loki as the son of Laufey and that the Poetic Edda calls him by his Patronymic Fárbautason. Putting the two together, Loki is the child of Laufey (mother) and Fárbauti (father).
The connection with Odin probably comes from the Lokasenna, in which Loki says that Odin and he shared blood (=became blood brothers), but he is not his brother by descent.