Marvel Studios President (wow, what a job) Kevin Feige just dropped a whole bunch of Marvel news in a new interview, which included plans for the Marvel Cinematic Universe. He specifically went in to detail about the latest Marvel character to grace the silver screen, Ant-Man, and his affect on Phase Three of the MCU.
So, Ant-Man is the final film of Phase Two of the MCU, and apparently once you see it you'll see some ways that it'll fit in with the larger universe both immediately and also eventually, over time.
There's a lot that comes with Ant-Man: a new hero and the Pym particles, a new very important part of technology in the Marvel universe are both introduced. Phase Three will focus on some semi-confusing and mind-bending "Quantum Realm" stuff.
Meaning, there will be some new other-worldly kind of stuff that happens in Phase Three, and Ant-Man is a big part of that. Ant-Man will cross paths with The Avengers and they'll probably dabble with alternate dimensions. We might see Doctor Strange play into these "places" that couldn't previously be fathomed or reached - that now will be fair game in Phase Three.
This could play into the Avengers being transported into space to fight Thanos. It'll be interesting.