it can fire various forms of mystical energy bolts which the axe can transport from any place and manipulate it.
example: it can fire a nova blast from an exploding sun and manipulate the flame into a blast. same for a freeze blast, it can be transport icy winds from the north pole or any place from the 9 worlds and manipulate it ala iceman. the axe has also shown the ability to repel bullets with a magnetic field.
The axe is also capable of slicing out a person soul out of their body without harming the body and bypassing the material world and objects and place the soul in a limbo dimension. dimensional slashing.
I think it also allowed Skurge the ability to fly as well once in an old Thor comic.
the axe can also teleport and track energy signatures.
it can also matter manipulate the same way Thor's hammer and the other asgard mace and hammer can by spinning it around himself to make armor and a new costume.