Ever since the first trailer for Avengers: Age of Ultron released online, fan speculation went wild with theories about the plots and characters. Here is my personal speculation on some of the more iconic scenes from the trailers that we've seen.
Note: Minor spoilers for [Captain America: The Winter Soldier](movie:254973) follow.
Von Strucker's Castle
As can be seen in the above image, the team heads to Baron Von Strucker's fortress to shut down his experiments and other operations (as seen in the end credits scene of Captain America: The Winter Soldier). In an interview with Kevin Feige, he confirmed that this will be the opening battle in the film. Feige also confirmed that the Avengers will battle Scarlet Witch and Quicksilver along with Baron Von Strucker.
After defeating Baron Von Strucker, the Avengers come back to the now-compete and renovated Avengers Tower to celebrate and relax (and try and lift Thor's hammer). However, immediately following this scene, we see Ultron, in his incomplete form, emerge from a laboratory, before declaring that the Avengers are simply "puppets . . . tangled in . . . strings". After saying this the rest of the Iron Legion, presumably under control of Ultron, explode from the wall behind him and make their escape.
The official synopsis of Age of Ultron says:
"When Tony Stark tries to jumpstart a dormant peacekeeping program, things go awry and it is up to the Avengers to stop the villainous Ultron from enacting his terrible plans."
Now, this statement doesn't give us much for Ultron's origin other than it originating as a "dormant peacekeeping program". Ultron is probably going to come from one of two places. The first option is: Tony finds the program in the ruins of Von Strucker's castle. This would make sense, as it appears as though Baron Von Strucker's resources are vast, and having a peacekeeping program in storage might be a fallback (maybe something commissioned for Hydra?).
The other option is that Tony has been working on a peacekeeping program (probably the Iron Legion) as a contingency plan in the event that another threat from space arrives, like the Chitauri from the first Avengers. If this is the case, he has probably been working on it for awhile, and likely finishes it or is close to finishing when the Avengers are called upon to attack Strucker's fortress. Ultron likely awakens while they are gone, and rebuilds himself in time to emerge during the party.
The twins will be the latest addition to the Avengers (eventually) but will first serve as henchmen to Von Strucker in the initial scenes of the film. After the Avengers attack, Von Strucker will be killed or captured, while the twins escape or take refuge and hide inside the fortress. They will then likely be recruited by Ultron, as seen in this screenshot from the trailer:
As can be seen in this image, Ultron has already reached his completed (vibranium) form, meaning this will likely happen later in the film. Another piece of information that was recently revealed is that the twins will be misaligned terrorists before becoming Avengers, so Ultron will probably use some sort of "righteous cause" psychology to get the twins to follow him, before they see the light and join the Avengers in their final battle against Ultron.
Arguably the best moment in the Age of Ultron trailer is seeing Iron Man don the Hulkbuster exosuit to end the Hulk's downtown rampage through force. We have been told a few times that this battle is not as it appears. Is Iron Man the bad guy in this scene? Has he been corrupted by Ultron? Or is the suit being operated by Jarvis and Tony is nowhere near the scene? In many ways, this scene is probably the most open-ended, as we have no idea what causes the Hulk's rampage, where the Hulkbuster comes from, and we end up having more questions than answers.
Seeing Hulk in the image above, it is clear there is something wrong with him. Many have speculated that it is caused by subtle mind control from Scarlet Witch, but it seems more like a sickness or biological anomaly, based on the redness in his eyes, sweaty appearance, and the darkened vein colors. It's possible that Ultron could have synthesized a Hulk-sized version of a common virus to send the Hulk on a rampage. This would make sense from a strategic viewpoint, as Hulk's rampage would split and/or hurt the team, while also causing catastrophic damage to whatever city the Hulk is in. This could also explain Bruce Banner's terrified appearance aboard the Quinjet in the image below:
The Broken Shield
Towards the end of the first trailer, we see an image of Thor's limp hand next to Captain America's broken shield, with the image of scorched earth beneath them both, and a voice over by Ultron declaring "there are no strings on me".
This image could be taken literally, and the Avengers suffer a massive defeat late in the movie which leaves them wounded and broken. This would be supported by Joss Whedon's statement that "someone is going to die".
However, given the appearance in the trailer of Captain America in what appears to be a 1940s ballroom, it is also possible that this image is taken from a dream or hallucination (caused by Scarlet Witch?), and this shows an outcome that could happen if Ultron were to win and defeat them.
This has been my speculation on some of the scenes depicted in the trailer, but let's watch it again, because there is no such thing as too much Avengers.
These are my opinions, backed up by a few other articles. Any questions or different ideas, throw them in the comments below!