Okay, we all know that the big story Marvels Cinematic Universe is building up to is an 'Infinity Gauntlet' style story [The Avengers 3](movie:738027) against Thanos but obviously for that we need the Infinity Gems (well stones in the MCU, go figure) and the Infinity Gauntlet itself and I understand there has been some slight confusion as to the location of these items so here's a run-down on what we know, what we can guess, and what we have no idea....
The Infinity Gauntlet
The Infinity Gauntlet is required for anybody who wants to wield the power of all of the Infinity Stones at once because in laymans terms if you try to without the Infinity Gauntlet...well...you're gonna get burned. So Thanos obviously needs this before he can start any sort of attack on anybody. As we can see in the still above it has been seen to be located in Odin's treasury room during Thor. Now this could just be a hint, an eater egg for fans and not the actual one, or it could genuinely be the Gauntlet we don't actually know. Assuming this is the real one we can not be sure its still there,
1. Because at the end of [Thor: The Dark World](movie:206462) Sif stated that its not wise to keep two Infinity Stones in one place which wouldn't really make sense if they had the Tesseract AND the Gauntlet so Odin could have relocated it at some point
2. If it wasn't moved then it now belongs to Loki who during the Avengers had connections to Thanos but Loki is the god of deception and his plan in Avengers didn't really work out. So using this the Gauntlet should be in one of three places its either still in the treasury with Loki, given from Loki to Thanos, or somewhere completely different where Odin put it.
The Tesseract - Space Stone
The Tesseract was confirmed to be the Space Stone due to it being able to open portals to the other side of space, once so Loki could get through and once to let the Chituari through. The Space Gem in the comics does practically the same thing, it allows you to travel anywhere in space. It started of on Asgard then got brought to the Vikings until it was stolen by the Red Skull to make weapons for Hydra, it was on the ship when Captain America crashed until it was found in the ocean by Howard Stark this is basically why SHIELD was founded, skip ahead a few decades and after the events of Thor SHIELD brings in Eric Selvig to study it, the Avengers happens where it fell to Loki and then got taken back to Asgard with Thor. So along with the Infinity Gauntlet Loki either gave it to Thanos or has kept it for himself.
The Orb - Power Stone
Now this confirmed for definite by James Gunn as the Power Stone which pretty obviously gives you power. In Guardians of the Galaxy we're shown that it can grant the wielder/s unrivalled amount of power but is harder to control than any other stone it could rip you to shreds in seconds, we were told that if it makes contact with the ground it could destroy a planet. At this moment in time the Orb is heavily guarded at the Nova Corps head quarters on Xandar.
The Aether - Reality Stone (Probably)
Although the Aether isn't a solid (more of a liquidy/ gassy thing) it is confirmed to be a Infinity Stone. Now this was shown to give Malakith a large amount of power but since the Orb was confirmed as the Power Stone the Aether is most likely the Reality Stone which is kinda supported by its links to 'The Convergence' which had different worlds meeting up. Now after the events of Thor: The Dark World it was put in a container and given to the Collector. We never truly found out about the Collectors alliances, his 'one down, five to go' quote could be on Thanos' behalf or his own, if he was on Thanos' side then Thanos could have it, however if he kept it then it would have been in his collection but in Guardians of the Galaxy his collection goes boom boom and we're never shown it but if he did keep it than the likelihood is that its in the Collector's wreckage somewhere.
Chitauri Sceptor - Mind Stone?
This was NEVER confirmed on any level that this was a stone of any description but that does not stop wide spread fan rumours which make a lot of sense. Think about it Thanos is after the Stones, Thanos finds the Mind Stone, when he and Loki strike a deal where Loki gets the Chituari army to take over Earth/Midguard/Terra in return Thanos gets the Tesseract (the Space Gem) so Thanos gives him a little extra help with the Mind Stone in the sceptor which would perfectly explain how it controlled Selvig's and Hawkeye's mind which is pretty much the Mind Gems MO. Also evidence to support this theory is how it can be used to edit people like Quicksilver and Scarlet Witch which the gem doesn't really do but something would need to have a lot of energy to do that and why else would they revisit it at the end of The Winter Soldier unless it was important.
The Soul Stone as of yet has not appeared yet in the MCU but there has been heavy speculation as to where it will appear, two main theories come forward 1. Doctor Strange, his movie has been confirmed and will likely be late 2016 now its a strong possibility that he will deal with a stone which would leave the soul, time and possibly mind. Bets on the Soul Stone because it seems appropriate and in the comics it was given to him. 2. [Guardians of the Galaxy 2](movie:1081113), this film is confirmed for the mid-2017 slot. The reason the Soul Stone could appear here is simple. Adam. Warlock. He is a fan-favourite Guardian, I won't go into the back story but he is known for having the Soul Gem in his head and he pretty much starts the Infinity Gauntlet story with it. We clearly saw his cocoon in the Collectors Collection and at the end of Guardians its open and empty so he's out there. My personal bets on Doctor Strange because it makes sense and because of the next stone.
The Time Stone will be the hardest to secure. Since it probably requires time travel and that is a very hard thing to put in a comic book movie only Days of Future Past has succeeded so far and it would be very hard to pull off in a universe as well established as the MCU. However, I think that one franchise could pull it off, the Guardians, if they can pull off intergalactic chuckles, space red necks, vocabulary limited trees, gun firing mercenary raccoon, an eighties thief and just so much weird then they can pull off time travel, im sure there is plenty of story's to pull from, maybe tweak the Korvac saga. So I think that's where it'll turn up. Or if they (Marvel) are really lazy and just say Thanos 'acquired' it before and not show us.
And well that's about the size of it!