All right, I'm not a gifmaker, so I can't break down the trailer into visual parts for you. But you can watch it as I describe it, so here goes.
Kit Simpson Browne's recent article about "What You Might Have Missed in the New Avengers Trailer...Is Potentially Huge" is what really set this off. In it he writes about how Thor seems to not have his hammer in many of the snippets he's shown in.
At the near-beginning of the trailer Thor drops his hammer with a shocked look on his face. (By the way, it sort of bounces. Does it usually? Is this normal, or a mistake? Does it betray the fact that the hammer is fake?) I don't know about you, but I've never seen Thor do anything like this. The only way I know to interpret this is as a gesture of surrender. But who would he be surrendering to? Kit Simpson Browne suggests that Thor many have become suddenly unworthy of Mjölnir, but I doubt it. Thor usually holds Mjölnir by the handle, with the straps around his wrist. If he were to become unworthy he wouldn't be able to lift it and he would suddenly buckle to the ground.
While rewatching the trailer I sort of wanted what KSB said to be true, because first of all, that would be an awesome Thor movie to see. Thor, powerless, must recruit allies to help him take back the throne of Asgard, and this instance of powerlessness is what really changes him into a good king, rounding out the Thor trilogy of movies. But, second of all, it means we might see a Female Thor like they've just introduced in the comics. This second one makes much more sense when you consider the rest of the trailer.
After Ultron says, "now I'm free," we see a very, very short shot of a hand lying on a rock, pointing downwards at Captain America's shattered shield. One would think that it would be Captan America's hand, but it's not. There is a very large silver gauntlet on that hand, and as the camera moves you can see a lot of red fabric pooled nearby. I think that this is a hint that Thor is killed while wielding Captain America's shield.
Now, you ask, why would Captain America give up his shield? There are several answers we can give for that. The first and most obvious one is that, as Captain America decided to use a gun midway into a fight for some reason, he gave his shield to Thor as he is much more used to hitting things with a blunt object then using his guns or fists. Another answer is that perhaps Captain America has disappeared, leaving his shield behind, and since in a previous fight the shield had been effective against Ultron Thor decided to pick it up, not realizing Ultron's adaptive capabilities. This second one is more palpable to me, but I don't know why Steve would just up and leave like that. How about you guys leave your theories in the comments below?