Infinity Stones

The Infinity Stones are six mystic artifacts of great power that hold predominance over the universe.

Captain America: The First Avenger
The Red Skull claims that the Tesseract was one of Odin's crown jewels, and that it is an example of mythology and science being combined.

Thor
Nick Fury believed that the Tesseract was a source of unlimited power.

The Avengers
The Tesseract was used to create a portal that brought Loki to Earth, allowed Chitauri invaders to reach Earth, and later it was used to transport Loki and Thor back to Asgard. The Chitauri Scepter that was gifted to him by Thanos controls the minds of people affected by it's power. It was used by Loki on Clint Barton, a couple of S.H.I.E.L.D. agents, and Erik Selvig during the events of the film.

Thor: The Dark World
In the prologue, Odin explains how the Aether was made by Malekith out of darkness. Sif and Volstagg bring the Aether to the intergalactic museum of The Collector, stating that it's unwise to keep two Infinity Stones in one place. The Collector utters the phrase "One down, five to go", speaking of the Infinity Stones.

Captain America: The Winter Soldier
The Chitauri Scepter is seen in the mid-credits sequence inside a HYDRA base headed by Wolfgang Von Strucker. They were doing a number of experiments with it, including experimentation on Quicksilver and Scarlet Witch, which lead to them having powers.

Guardians of the Galaxy
The Orb was found on the abandoned colony planet of Morag, found and kept by Peter Quill, until it was stolen by Nebula for Ronan the Accuser, who absorbed its energy, preparing to use it as a weapon in his genocidal destruction of Xandar. The Guardians managed to harness the energy of the Orb, channeling its energy through one another and ultimately using the power to kill Ronan. Afterwards, Nova Prime oversaw the locking of the orb within a secure vault.

Avengers: Age of Ultron
The Mind Stone was revealed to be contained within the Chitauri Scepter and was used by Wolfgang von Strucker to experiment on the Twins. Later, it was placed within Vision's forehead. After the Avengers defeated Ultron, Thor decided to leave Earth to research the Infinity Stones. Meanwhile, Thanos had grown tired with the lack of progress in the destruction of Earth and decided to take matters into his own hands. He retrieved his Infinity Gauntlet and began to hunt for the Infinity Stones.

Aspects
Before the universe was created, the Infinity Stones existed as a singular force. Four Cosmic Entities created the stones: Death. Eternity, Entropy, and Infinity. Each of the stones possesses unique capabilities that have been enhanced and altered by various alien civilizations through the millennia.

Only beings of immense power can wield the stones, such as when the Celestials used the Orb to pass judgement on entire planets. Lesser beings are usually unable to grasp the full power of the stones and are destroyed by them when direct contact is made, such as the illness of Jane Foster when exposed to the Aether, the disintegration into Yggdrasil of Johann Schmidt by the Tesseract and the incineration of Carina by the Orb. Only once in recorded history has the power of all six stones been harnessed. This was achieved by six cosmic beings, each with one stone, linking themselves together. The effects were short-lived as the energy of the stones disintegrated all six beings after a few short moments.

Despite being referred to as "stones," the Infinity Stones appear in different shapes and states of matter. For example, the Tessaract appears to be almost glass like and the Aether has a liquid form. The Power Stone within the Orb is still in it's original stone form. It is possible that they were changed from that state of matter by those who used it such as Malekith with the Aether.

Powers and Abilities
Each Infinity Stone has a different power. The Stones are as follows:
 * Space Stone - Contained within the Tesseract
 * Power Stone - Contained within The Orb
 * Reality Stone - Aether
 * Mind Stone - Contained within the Chitauri Scepter and later Vision's Forehead
 * Time Stone - TBA
 * Soul Stone - TBA

Appearances

 * Tesseract
 * Marvel Cinematic Universe (7 films)
 * Captain America: The First Avenger
 * Iron Man 2 (Mentioned only)
 * Thor (First appearance)
 * The Avengers
 * Thor: The Dark World (Mentioned only)
 * Guardians of the Galaxy (hologram)
 * Avengers: Age of Ultron (vision)
 * Marvel Cinematic Universe ( comic)
 * Thor: The Dark World Prelude
 * Avengers: Age of Ultron Prelude - This Scepter'd Isle
 * Guardians of the Galaxy Prequel Infinite Comic (Mentioned only)
 * Thor: The Dark World Prelude
 * The Avengers Prelude: Fury's Big Week
 * Mind Stone
 * Marvel Cinematic Universe (4 films)
 * The Avengers
 * Captain America: The Winter Soldier
 * Guardians of the Galaxy (hologram)
 * Avengers: Age of Ultron
 * Marvel Cinematic Universe (2 comics)
 * Avengers: Age of Ultron Prelude - This Scepter'd Isle
 * Thor: The Dark World Prelude
 * Aether
 * Marvel Cinematic Universe (3 films)
 * Thor: The Dark World (First appearance)
 * Guardians of the Galaxy (hologram)
 * Avengers: Age of Ultron (vision)
 * Marvel Cinematic Universe (1 comic)
 * Guardians of the Galaxy Prequel Infinite Comic
 * Power Stone
 * Marvel Cinematic Universe (2 films)
 * Guardians of the Galaxy (First appearance)
 * Avengers: Age of Ultron (vision)
 * Marvel Cinematic Universe (2 comics)
 * Guardians of the Galaxy Prequel Infinite Comic (Mentioned only)
 * Guardians of the Galaxy Prelude (Mentioned only)

Behind the scenes

 * In an in-depth interview with CraveOnline, Feige clarified that the Tesseract is the Space stone.

Trivia

 * In the comics, the Infinity "Stones" are referred to as the Infinity Gems.
 * The post-credits scene in Thor: The Dark World reveals that the film's central weapon, the "Aether", is one of six "Infinity Stones", and that the Tesseract from the previous films Captain America: The First Avenger and The Avengers is another. It is also noted that it would be unwise to keep two of the stones in the same location.
 * Kevin Feige has stated that one of the Infinity Stones will be featured in Guardians of the Galaxy stating: "You may see another infinity stone in Guardians and certainly fans of the comics know what one can do with all of those stones if, god forbid, they get them and with Thanos showing up at the end of The Avengers, he plays a part in Guardians and leads us towards at least one potential future."
 * It is possible that the Soul Stone could connect to Marvel hero Adam Warlock. Warlock's cocoon was briefly shown in Thor: The Dark World, as well as Guardians of the Galaxy.

Gallery
See: Tesseract/Gallery, Chitauri Scepter/Gallery, Aether/Gallery and The Orb/Gallery