The Stones have played minor roles as MacGuffins in many Marvel Cinematic Universe movies, and those assorted plot threads are all building up to Avengers: Infinity War, a film in which the ownership and location of the Infinity Stones will become vital to the safety of the Universe.
There are 6 Infinity Stones in total in Marvel Comics and Marvel Cinematic Universe.
THE SPACE STONE
As seen in both Captain America (used by Red Skull) and The Avengers (used by Loki), the Tesseract is a blue stone capable of teleporting anything from one point in the universe to the other. The other use is, apparently, as a means to manufacture futuristic weaponry — but who’s to say those blue lasers aren’t just teleporting all the victims to some random pub on a distant planet? Sounds like the plot of Marvel’s first TV comedy. Last we saw, Thor took it back to his homeworld of Asgard at the end of The Avengers.
The Hydra agent known as the Red Skull sought it in Captain America: The First Avenger. Then it was recovered by S.H.I.E.L.D. in the 21st century, stolen by Loki and subsequently used to open the portal that brought the Chitauri army to New York in The Avengers. At the end of The Avengers, Thor returned it to Asgard’s armory for safekeeping.
The Tesseract was seen multiple times in Odin’s treasure room in Thor: Ragnarok, in which all of Asgard was destroyed utterly by the fire demon, Surtur. The final time it appeared was when Loki visited the vault to recover Surtur’s skull.
THE MIND STONE
The Mind Stone first appeared, secretly, in The Avengers. Originally hidden in the tip of Loki’s mind-control scepter, it’s one of the most well-traveled and consequential Stones of the lot.
The Scepter was a gift from Thanos, who’d also financed the Chitauri army and rescued Loki from the void after he fell from Asgard’s rainbow bridge in Thor, in exchange for Loki leading the army to Earth. During The Avengers, that scepter was confiscated for study by S.H.I.E.L.D., and in Captain America: The Winter Soldier, it was re-confiscated by Hydra in the latter’s takeover. It was used to awaken the powers of the Scarlet Witch and Quicksilver, before being re-re-confiscated by the Avengers in The Avengers: Age of Ultron.
From the Avengers: Infinity War’s trailer Video, I think that the Thanos had taken the mind stone from vision.
THE REALITY STONE
In the comics, it’s more focused on wish fulfillment. Its only appearance in the movie so far has been Thor: The Dark World as “thing Natalie Portman has and the bad guy really wants.” By the end of the film, it was given to The Collector (aka “blond Benicio Del Toro”) for safekeeping — although his whole house was wrecked during Guardians of the Galaxy, so who knows if it moved at that point. Apparently keeping two Stones in close proximity in Asgard’s armory was considered to be too dangerous, and they already had the Space Stone, or Tesseract.
THE POWER STONE
This is the stone that actually wrecked The Collector’s home in Guardians of the Galaxy. The purple stone gives the wielder incredible power — superhuman strength shooting beams of purple destruction, and possibly wiping out all organic life from a planet just by touching the surface. Here, it’s “thing Chris Pratt has that bad guys want.” By the end of GotG, the Power Stone was being housed by the intergalactic police known as Nova Corps.
Ronan was supposed to be grabbing it for Thanos, but decided instead to use its abilities to try to take revenge on the people of the planet Xandar.
THE TIME STONE
The Time Stone features prominently in Doctor Strange, in which the eponymous hero uses the Eye of Agamotto’s power to control time when he defeated the demon Dormammu. Earth’s first sorcerer, Agamotto, had bound the Time Stone into a pendant thousands of years before.
Function: Visit the future! Alter the past! Speed up and slow down the passing of time! Stay young forever! Reboot the entire series and start over!
THE SOUL STONE
Not yet seen in films, the Soul Stone of Marvel comics was a somewhat sentient creature that could trap souls inside another world. The concept of “souls” really hasn’t been explored in the Marvel Cinematic Universe, so no telling how it’ll be presented on screen.
After Infinity War, the Marvel Cinematic Universe will enter its Phase Four, and at that point just about anything could happen.