I have always been curious about what Kevin Fiege meant when he said that Thor: Ragnarok will be the most important film for Phase 3. The importance of films per phase as whole has been inconsistent. Phase 1 managed to make all the films properly set up [The Avengers](movie:9040) (Iron Man 2 not so much). Phase 2 hasn't been good with setting up, the film with the most importance is The Winter Soldier which didn't even mention Ultron. Even though Age Of Ultron is going to be awesome, I feel that the film will completely ignore the continuity of the previous films.
I'm going to discuss Phase 3 films and their affect on Thor 3, as well as Thor 3's effect on them.
[Captain America: Civil War](movie:994409)
Unless Iron Man builds a Thor clone, I seriously doubt Civil War will have an affect on Thor: Ragnarok. The whole Thor clone thing doesn't feel like the way they will do the film. It will be more like Surtur's invasion on Asgard against Thor and Loki. We might get an easter egg but that will probably be all.
This seems more likely to have a relation to Thor: Ragnarok. Dormammu might have some interaction with Surtur or the Soul Stone will have a role in both films. We might see Doctor Strange or some other character in space or Asgard.
[Guardians of the Galaxy 2](movie:1081113)
Due to the film taking place in space, there might be some talk between aliens about the impending apocalypse that is The Ragnarok Cycle. The Collector is set to return so we might see him with the Twilight Blade and eventually have it stolen by Surtur. A less likely scenario involves Beta Ray Bill joining the Guardians Of The Galaxy.
Marvel's Spider-Man feels like it's going to be a very down to Earth film so the odds of a Thor: Ragnarok reference here are very unlikely. A cameo from an Avenger who isn't Thor might reference him.
Since Black Panther takes place after Avengers: Infinity War Part 1, we probably won't be seeing any infinity stones. It's tough to say what effect Thor: Ragnarok will have on this film but Black Panther will probably deal into the mystical side and have some Asgardian reference.
Kevin Feige stated that there will be a lot of changes to Carol Danvers' origin story so we might not see any Kree. Her origins could still be alien and have been affected by The Ragnarok Cycle.
Inhumans will probably take place in space and could have The Ragnarok Cycle mentioned. Perhaps the Kree created the Inhumans to prepare for The Ragnarok Cycle. The Inhumans might have a role in Thor: Ragnarok but that seems a little far-fetched.
Avengers: Infinity War
Here is how I see it, Ragnarok is over, Asgard is in ruins. Thanos takes the opportunity and steals the Infinity Gauntlet and the Tesseract (the space stone). Thor and Loki join together with the Marvel Universe to take Thanos down. Another Infinity Stone could show up in Thor: Ragnarok, we'll just have to wait and see.
Well that's my theory. I hope Thor 3: Ragnarok will live up to Kevin Feige's word. I'm looking forward to Thor and Loki finally legitimately teaming up and the devastation that Surtur will cause. Don't forget to leave your own theories down below.