The Avengers
Tom Hiddleston aka Loki explains how the various directors made sure all the Marvel movies interlocked together:

"Ken [Branagh] and Jon [Favreau] and Joe [Johnston] all swapped information, and Joss [Whedon] was brought on at a very early point on 'Avengers,' and Ken showed him 'Thor,' I think. They just sat down and watched it together, because Joss had asked, 'Can I watch the film before I start writing, I just want to see what you've done with Thor and Loki.' And Joss really loved what Ken had done, and what we'd all done together."

He also explains some of the sartorial changes to Loki:

Working with Alexandra Byrne, who was the costume designer again, saying let's take the regality of the lost prince of Asgard, and make him a damaged pirate, so there's evidence of some kind of experience beyond what happens at the end of Thor. And then talking with Joss about his evolved psychology and how, in the space between the end of Thor and the beginning of The Avengers, Loki has gone through a whole bunch of stuff which will register on his mind and on his body and will change who he has to become. It's really exciting!

[Den of Geek]

There's allegedly scenes that involve the introduction of Scarlett Johansson's Black Widow and in one, she's being held captive by Russian thugs while on an undercover mission. The thugs are trying and failing at intimidating her and her phone rings to which she orders the thugs to pick up. The call is from Agent Coulson who tells her that Nick Fury needs her to return immediately.

She then beats up the thugs while being tied to a chair. Breaks it. Escapes. Hello Black Widow?