The Infinity Stones

The Infinity Stones - as explained by the Collector in Guardians of the Galaxy - are singularities left over from the Big Bang.

At the end of Avengers: Age of Ultron, Thor points out that several Infinity Stones have shown up in the last few years, five to be exact. Kevin Feige has stated that the remaining stone will be revealed at some point in Phase 3, but when can we expect that and how will it tie in to the story? The five stones that have been uncovered are:

The Space Stone, contained within the Tesseract, was hidden on Earth for centuries. Until 1942 when it was taken by the Red Skull, who used it to power his inventions. At the end of the war it was recovered by Howard Stark on behalf of the Strategic Scientific Reserve. It remained in the custody of S.H.I.E.L.D. until Loki stole it and used it to open a portal to the other side of the galaxy in an attempt to take over the world. Whereas Loki's goal was to rule Earth, his benefactor/Boss Thanos, had bigger plans for which he needs all of the stones. But when the invasion failed, Thor returned Loki and the Tesseract to Asgard. After the events of Thor: Ragnarok the Tesseract is once again in Loki's possession, most likely unbeknownst to Thor.

The Mind Stone was contained within Loki's scepter, granting him the power to effectively brainwash people, turning them into slaves. Meaning Thanos gambled one stone in the hope of gaining a second. For some reason Thor didn't take the scepter back to Asgard, leaving it with S.H.I.E.L.D. Thus allowing it to fall into the hands of Hydra. Baron Wolfgang von Strucker used it to experiment on people, including Wanda and Pietro Maximoff who became Scarlett Witch and Quicksilver. After the Avengers retrieved the scepter, Stark and Banner used it to create Ultron, who stole it, extracted the stone and placed it on the forehead of his new body. But before Ulrton could transfer his consciousness into the new body, it was stolen by the Avengers. Stark and Banner (with a little help from Thor) transferred JARVIS into the body to create Vision. The stone is currently entrusted to Vision.

The Reality Stone was given a fluid form and is known as the Aether. Malekith of the Dark Elves tried to use the Aether on two occasions to return the universe to darkness, the state it was in before the Big Bang. After Malekith was defeated, and with the Tesseract already on Asgard it was deemed too dangerous to keep two Infinity Stones in the same place, so the Aether was entrusted to the Collector.

The Power Stone was contained within an orb and hidden on the planet Morag until Peter Quill/Starlord found it. In attempting to sell the orb Starlord attracted the attention of another of Thanos' minions, Ronan the Accuser. When Ronan was able to acquire the Power Stone he attempted to destroy Xandar, capital world of the Nova Empire. With the help of the Nova Corp, Starlord and his new friends destroyed Ronan's ship and were able to distract him long enough to re-acquire the Power Stone and use it to destroy Ronan. The newly named Guardians of the Galaxy placed the Power Stone under the protection of the Nova Corp.

The Time Stone is contained within a medallion known as the Eye of Agamotto which is kept at Kamar-Taj. Doctor Strange used the Eye of Agamotto to defeat Kaecilius and un-do the damage he did to the Hong Kong Sanctum. Strange also used it to lock Kaecilius' master, Dormammu in a time loop in order to force Dormammu to leave Earth unharmed and return to the Dark Dimmension. After the battle, Strange returned the Eye of Agamotto to Kamar-Taj.

The last stone is the Soul stone. Very little is known about it other than it's orange and that it will be revealed at some point during Phase 3. We don't even know if it will be revealed before or during Avengers: Infinity War.  

In order to wield the power of the stones, you need an Infinity Gauntlet. Thanos has the left handed one. The other was in Odin's vault - as seen in Thor and Thor: Ragnarok - although according to Hela it's a fake. It was undoubtedly lost when Surtur destroyed Asgard in Thor: Ragnarok.

Thor has been investigating the appearance of the Infinity Stones since he left Earth at the end of Avengers: Age of Ultron. Ragnarok is being called a cosmic road trip movie, Hulk and Loki are said to be along for the ride, the question is where are they headed and will they find the last Infinity Stone along the way?