Infinity Stones

The Infinity Stones are six mystic artifacts of great power.

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 allowed Chitauri invaders to reach Earth, and later it was used to transport Loki and Thor back to Asgard.

Thor: The Dark World
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.

Guardians of the Galaxy
To be added

Powers and Abilities
Each Infinity Stone has a different power. The Stones are as follows:
 * Tesseract - Space Stone
 * Aether - Power Stone

Appearances

 * Tesseract
 * Marvel Cinematic Universe (5 films)
 * Captain America: The First Avenger
 * Iron Man 2 (Mentioned only)
 * Thor (First appearance)
 * The Avengers
 * Thor: The Dark World (Mentioned only)
 * Marvel Cinematic Universe (1 comic)
 * Thor: The Dark World Prelude
 * Aether
 * Marvel Cinematic Universe (1 film)
 * Thor: The Dark World (First appearance)

Behind the scenes

 * Kevin Feige has stated that the Tesseract is indeed an Infinity Stone. In an indepth 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.
 * It has been speculated that the blue gem in the Chitauri scepter is the Mind Gem.
 * 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."

Gallery
See: Tesseract/Gallery and Aether/Gallery