The question was addressed to Jason, but I'd recommend, if you want to just see some of the earlier character movies to be up on the plot, to see Iron Man and Thor, plus/minus Iron Man 2.
Originally Posted by Rich
Iron Man is by far the best of those 3 and introduces you to Iron Man and the glory that is Robert Downey Jr.'s Tony Stark. Iron Man 2 has a couple worthwhile tie-ins to The Avengers (namely Tony Stark's initial connection with them and the introduction of Scarlett Johansson as The Black Widow.) However, it's not absolutely necessary in either case since Johansson's character isn't developed in any meaningful way (she's hot and she can kick butt and she's with SHIELD) and Tony Stark's interaction with SHIELD isn't much more than Sam Jackson telling him to get it together. Iron Man 2 is an okay movie, but less fun and quality than Iron Man with a great deal more sound and fury.
I really liked Thor, although it's not nearly as good as Iron Man. It's worth watching in its own right, and is probably reasonably important for developing Loki. Loki is really well done and well developed in the movie. I have a feeling that The Avengers will have trouble developing his complicated relationship with Thor and his motivation if you know nothing about the events in the movie Thor.
Brian Zoubek on what was going through his mind walking to the free throw line with 3.6 seconds remaining in the 2010 National Championship game and Duke up by 1: "Fifty percent [of me is] thinking, This is what I've been dreaming of doing my entire life. Fifty percent I'm crapping my pants."