There was an old joke that the only characters in comics who stayed dead were Bucky and Uncle Ben. And then Captain America comic writer Ed Brubaker brought Bucky back to life.
Not just back to life, but back to life as a long-haired, cybernetic-armed, brainwashed super-assassin. It sounded like the worst idea ever. But in reality it was one of the best things done to Captain America in decades. The new version of Bucky, known as The Winter Soldier, was a complex and great character who went from being a villain to actually taking Cap's place when the hero died.
The story is that Bucky didn't die as everyone thought. He was badly injured - he lost an arm - but the Russians found him. They brainwashed him, gave him a new arm and turned him into an assassin. They kept him in cryofreeze for years at a time, only waking him when it was time to kill someone. And when the Soviet Union fell apart, he stayed frozen away. Until he was thawed and sent after Captain America.
We knew that Winter Soldier would show up eventually; Marvel's Kevin Feige has often said that's one of his favorite characters. I'm surprised he's coming in so soon. I thought he might show up in the shadows in Captain America 2 before rounding out the trilogy.
Side note: recently I complained that Marvel had a boring naming convention for their sequels, just using numbers. Today they proved me wrong in a big way with Captain America: The Winter Soldier and Thor: The Dark World (I don't really know what that could mean. Any guesses welcome). I've never been so happy to be wrong.