Alright folks, this is purely speculation, and I might be over thinking this, but bear (bare?) with me on this one.
Oh, and in case you didn't see it in the title, there are spoilers from Age of Ultron.
Still with me? Good
Remember in Thor's vision how Heimdall said "you will lead us to Hell"? Or something to that effect (cut me some slack, its my first post here) to Thor? Something about that didn't sit well with me, and I think I figured out why. What if he actually said "Hel". For those of you who don't know, Hel is the goddess of Death. In the comics, Death is an actual being loved by Thanos. (Dude has a serious death wish). Given the complexity of explanations to the rights war between marvel movie franchises, I think they might be using this goddess as a replacement. Thor could go looking for the goddess of death to stop the immortal Thanos.
Don't quote me on that (unless it turns out to be true, then by all means, quote away!)
Think I'm spot on? Fairly certain I am talking out of a certain cavity? Feel free to comment!