You had to stay for after the credits of the first film in order to get to Samuel L. Jackson, so I can understand if it was kind of confusing as to who the hell he was and what he was doing there. Nick Fury (of Shield), in the movies at least, I don't know too much about Avengers comics really, is setting up the Avengers team.
After the credits of Iron Man 2 you get to see Mjöllnir being all immovable in the desert. I'm geeked for Thor, and it's going to be interesting to see how it feels being tied to the Iron Man and Hulk eventual Captain America movies, for although they're pretty damn zany at times, they're still ostensibly based around "science." I'm not sure how they're going to fit Norse gods into that equation, but I don't really care!