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In Captain America: Civil War, Sitwell is dropped off the roof but caught by Falcon and he explains that HYDRA plans to identify and kill anybody who could be a possible future threat. Captain America asks who HYDRA would consider a future threat and Sitwell says a list of names and one of the names was Stephen Strange.

Dr Strange is talking on the phone while he is driving and is talking about possible future patients.  The first possible patient mentioned is "an Air Force colonel with a crush spinal column".  This is James Rhodes, War Machine, who was majorly injured in Captain America: Civil War.

At the end of the movie, Dr Strange returns "The Eye Of Agamotto" (the glowing green necklace that allowed Dr Strange to control time) and Wong says that it is a good idea "you wouldn't want to be walking around with an Infinity Gem"

Infinity Gems have been the backstory to the Marvel Cinematic Universe.

The next Avengers movie is called Avengers: Infinity War.

In Captain America: The First Avenger, The Red Skull finds the blue Infinity Gem and uses it to power his futuristic weapons.  It is on the plane when it crashed into the ocean and was lost.

In Thor 1, Nick Fury opens a case with the blue Infinity Gem and asks Selvig to study it.

In Avengers 1, it is explained that SHIELD found the blue Infinity Gem while looking for Captain America.  They are expermenting on it when Loki comes thru a portal and steals it.  The Avengers are formed to recover the blue Infinity Gem.  It is also revealed that Thanos gave Loki a staff with the yellow Infinity Gem in it, that is how Loki can control peoples minds.  At the end of the movie, Thor returns to Asgard with Loki as a prisoner and with the blue Infinity Gem.

In Captain America: The Winter Soldier post credits it is revealed that HYDRA has somehow gotten ahold of Loki's staff from Avengers 1 and has been using it to experiment on humans and they used it to give Scarlett Witch and Quicksilver powers.

In Avengers: Age Of Ultron, the Avengers recover Loki's staff from HYDRA and Tony Stark does tests on it, which creates Ultron.  Later, Tony Stark convinces Bruce Banner to use the gem to store an artifical intelligence program to put into the synthetic body that Ultron was making.  Thor tries to stop them by blasting the project with lightning and that ends up fusing the gem to the body making Vision.

In Thor: The Dark World, the red Infinity Gem is discovered and the Dark Elves are looking for it.  At the end of the movie, Lady Sif gives the red Infinity Gem to The Collector because they feel it is not safe to have more than one Infinity Gem in the same place at the same time (Asgard already has the blue gem from Avengers 1).

In Guardians Of The Galaxy, Star-Lord is hired to find an orb and ends up taking it to The Collector who explains that the orb is the purple Infinity Gems and he explains what the Infinity Gems are.  The Guardians see how dangerous the gems are and spend the rest of the movie trying to get the purple gem to Nova Prime where they feel it will be safely stored.

In Dr Strange, The Eye Of Agamotto (the green glowing necklace) is revealed to be the green Infinity Gem.

Scorecard

Asgard - Blue Gem; The Vision - Yellow Gem; The Collector - Red Gem; Nova Prime - Purple Gem; Dr Strange - Green Gem.

Again, the next Avengers movie is Avengers: Infinity War where Thanos (the purple dude) tries to collect all of the Infinity Gems to have God like powers.