Yes, call me crazy. Yes, you may tell me I'm an idiot in the comments section. I'm a man. I can take it. But before you start throwing stones, at least do me the courtesy of reading my arguments.
In a nutshell, this theory is that Nick Fury and Mace Windu are secretly the same person. Now, I know that you're likely having a "Well, DUH!" moment right now because both of these characters are played masterfully by Samuel L. Jackson, but let's look at the evidence in support of this theory.
THE EVIDENCE FROM A STAR WARS PERSPECTIVE
When Order 66 was dispatched to the Clones, they turned on the Jedi, who had been declared by Emperor Palpatine to be enemies of the state.
In the midst of this chaos, Anakin Skywalker informs Mace Windu of Palpatine's true nature as a Sith Lord. Windu goes to arrest Palpatine, but Anakin's intervention on Palpatine's behalf sees our hero fall to his death from the top floor of a high rise.
Not a super glamorous fate for the coolest Jedi ever, right? Well, here's where things get interesting because this is where the speculation really starts. Suppose, just suppose, that Mace Windu, injured though he was, was plucked from the jaws of death by Bail Organa and his speeder, which he later uses to rescue Yoda.
If this is the case, or even if Mace landed a ride on someone else's speeder, it's pretty unlikely that one of the most powerful Jedi ever merely fell to his death after being thrown out a window. That's too easy, even for George Lucas. Alright, so he's survived falling out the window, but what's a guy with one arm gonna do now? He can't go waltzing back to the Jedi Temple to find Yoda and Obi-Wan waiting to throw a surprise party for him. After all, he's now a wanted fugitive on the wrong side of the law!
So what's a guy to do? Suppose that Mace decides to lay low for a while, quickly losing contact with the other Jedi that are doing the same. Alright, I do hear your complaint that I still haven't said how all this fits into Avengers. In the words of Yoda, "Patience you must have, my young Padawan." I'm getting there. I really am.
For sake of argument, let's assume that while Mace is laying low on some outer rim dustball, some of Palpatine's assassins come searching for him. Mace goes to a local junk dealer and asks him to hide him from the approaching bounty hunters. The junk dealer agrees, and says, "They won't find you. Trust me." However, when bounty hunters swarm the shop, Mace is discovered and loses an eye in his escape. He manages to reach the spaceport, and realizing that he can no longer stay in his present location, Mace somehow gets a hold of a ship and flies to the Milky Way with it, arriving on Earth. He adopts modern Earth clothing and takes the name "Nicholas Joseph Fury". He helps to found SHIELD in the hopes that the same chain of events does not repeat itself. Mace is therefore horrified when SHIELD is discovered to be secretly spawning HYDRA, feeling that he has blown it and the process is beginning all over again.
THE EVIDENCE FROM AN AVENGERS PERSPECTIVE
We really know very little about Nick Fury as he appears in the MCU. Virtually all we know about him is that he is a master of subterfuge and duplicity, has a rather nebulous past, and is in possession of combat training that far exceeds anything found on Earth.
That said, remember the scene in Captain America: The Winter Soldier where Cap is giving Nick Fury the third degree for his use of "compartmentalization"? Remember what Fury's answer is? "Nobody spills the secrets because nobody knows them all." Captain America responds, "Except you," causing Fury to answer, "You're wrong about me. I do share. I'm nice like that." But what is more important here is when Cap says that teamwork is based on mutual trust: "Soldiers trust each other. That's what makes it an army. Not a bunch of guys running around shooting guns." And what does Fury respond? "The last time I trusted someone, I lost an eye!" Sound familiar? It's all coming together now, isn't it?
In conclusion, I admit this theory is pretty out there, but it's still an interesting concept. I admit, it's probably not true and is almost entirely based on unfounded assumptions, but hey, a guy can dream, right?