Slight spoilers for Thor: The Dark World ahead.
The mid-credits sequence of Thor: The Dark World reveals something interesting about the Aether, the ill-defined MacGuffin at the center of the film's plot: it's an Infinity Stone (in the comics they're called Infinity Gems (or sometimes Soul Gems), but we'll go with the cinematic nomenclature here). And it's revealed that the Aether is the second Infinity Stone we've seen so far - the Tesseract from Captain America: The First Avenger and The Avengers is the first. That means there are still four Stones out in the universe to be discovered.
First order of business: what the hell are the Infinity Stones? In the pages of Marvel Comics they are profoundly powerful mystical items, each with extraordinary control over forces of the universe. When they are brought together their bearer essentially becomes God, having total control over everything that is. in the comics the gems are color coded, and each gem has a specialty. Here. from the Marvel Wikia page, are the six gems by color:
The Space Stone gives the wielder the ability to travel anywhere in existance, and to stop others from moving through three dimensional space. The Mind Stone confers unlimited psychic and psionic abilities. The Soul Stone lets you look at, control and even steal the soul of another. The Reality Stone is the big one - it gives total control over all reality, making it pretty much unbeatable (and the rest of them sort of redundant, you'd think). The Time Stone allows to travel in and control time, and the Power Stone gives you immense physical power, increases all existing superpowers and can give you control over energy.
The origins of the Infinity Gems are mysterious in the Marvel Universe, and the Marvel Cinematic Universe adds an intriguing wrinkle: they may not always be gems. The Tesseract, a box of energy, is one. The Aether, a swirling mass of energy, is another. That means while the other four MCU Stone MIGHT be gems, they could take almost any form at all. Expect every single upcoming MCU MacGuffin to somehow play into the collection of the Infinity Stones.
That will start for sure with Guardians of the Galaxy. We already know The Collector is looking to get the Stones, and we know The Collector is the villain of the piece. He would come into conflict with the Guardians if they possessed a Stone, and the footage shown at Comic Con revealed Star Lord trying to steal an alien artifact - one that was blue in color. Assuming that the MCU is going with the correct color scheme for the gems (and that's not a good assumption, if we're being honest), that could mean Star Lord ends up with the Mind or Space Stone. The Mind Stone has the possibility of adding lots of fun mind control/ESP stuff into the already-skewing comedic Guardians, while the warping potential of the Space Stone could give human Peter Quill an opportunity to return to Earth from the far side of the galaxy.
The Tesseract is almost certainly the Reality Stone, which in the comics is most like the Cosmic Cube, upon which the Tesseract is based. That Stone's vague powers fit well with Reality. If the color schemes are on, the Aether is the Power Stone - a stretch, but this sort of comic book logic is malleable to say it would have allowed Malekith to control the Dark Energy of the previous universe to wipe this one out. So let's figure we've seen Reality and Power, and that Mind or Space are handled in Guardians of the Galaxy. Where are the rest?
EDITED TO ADD: It's been brought to my attention that Loki almost certainly has the Mind Stone in The Avengers - it's in his staff, which comes from Thanos.
SECOND UPDATE: It turns out Kevin Feige has revealed the Tesseract to be the Space Stone (click here).
If I were a betting man I'd wager that one of the Stones will turn up in the eventual Phase Three Doctor Strange movie. Perhaps the good doctor's Eye of Agamatto - a mystical relic encased in the medallion he wears around his neck - could be one of the Stones (forget that the Eye shows up in Thor - I'm pretty sure that and the Infinity Gauntlet were in-jokes and not real easter eggs). In the comics the Eye has some very diverse abilities, including allowing Doctor Strange to see through illusions, to levitate others, to teleport, to weaken demons, to put people in comas and other, as-needed-by-the-story, powers. If the Eye IS a Stone (and it might not be, but if it isn't one of the Stones will assuredly show up in the Doctor Strange film), it could be the Soul Stone. It's the wrong color, of course, but there's something that feels right about Doctor Strange having the power over souls.
Besides being the wrong color, the other big problem with having the Soul Stone be the Eye of Agamatto is that in comics continuity the Soul Gem is owned by Adam Warlock, a cosmic Christ figure who seems like exactly the sort of character who could end up in the Marvel Cinematic Universe. I won't get into Adam Warlock's weird backstory, but suffice it to say that he wears the Soul Gem on his forehead, and that gem was the first one introduced in the comics. With Warlock's Christ aspects the Soul Stone actually works thematically, and swapping it out for another Stone doesn't make a lot of sense. So what if Warlock - let's say he shows up in Guardians of the Galaxy 2 - has the Soul Stone and the Time Stone is the MacGuffin in Doctor Strange - let's say Baron Mordo is trying to get his hands on it for his own nefarious purposes? By now we have five Stones accounted for, and the question becomes where the next one shows up.
It won't be in Thor 3. They've already used these films to establish what they want to establish for The Avengers 3. The third Thor will wrap up the Thor/Loki story. It could be Captain America 3, with the Red Skull back on the scene using the power of the remaining Infinity Stone. He got teleported into the cosmos last time, so if the Space Stone is still in play that makes sense. He could also have the Time Stone - thematically Captain America, man out of time, having to choose whether to return to WWII and say goodbye to Peggy Carter would be amazing.
But what about Ant-Man? It seems very unlikely, but maybe that's what makes it the most likely. Remember, the film's MacGuffin doesn't have to be the Stone. And so far the Stones aren't well defined at all. Ant-Man is going to have much more of a caper/espionage feel, but what if the MacGuffin in that film is based on Pym Particles, the scifi mumbo jumbo that allows Ant-Man to shrink (and to eventually become Giant Man as well)? Could a clever reinterperation of the abilities of the Space Stone allow for it to somehow be tied into the energy that creates Pym Particles? Ant-Man is the next out-there Marvel movie, and having the ability to tie it into the larger MCU in this way - to make Ant-Man integral to The Avengers 3 - makes sense.
Right now it's all speculation, of course. Really nerdy speculation. What feels less like speculation is the idea that The Avengers 3 will involve Thanos seizing control of the Infinity Stones. In the seminal Infinity Gauntlet miniseries he uses the power of the gems to wipe out half the life in the universe as a tribute to the anthropomorphic embodiment of Death. He also uses the gems to kill all the Marvel superheroes, an iconic moment that sees Captain America as the last man standing against the godlike Thanos. I don't know if we'll see this recreated exactly on film, but it seems too good to pass up totally. Then again, we all thought we'd see the Demon in a Bottle story from the Iron Man comics show up in theaters, so who knows what Marvel will do.
All that said, expect the Infinity Stones to keep popping up in MCU movies going forward, often only being revealed in the post-credits stings. The connective tissue of the Marvel Cinematic Universe is getting more secure.