The Infinity Stones are items with reality-altering powers that exceed every other force or power shown so far in the Marvel Cinematic Universe. When all of them are collected in an Infinity Gauntlet, the wielder is given power to destroy complete universes. It's hinted that only extraordinary individuals can survive touching the Stones barehanded, and even in that case, it requires a great willpower to use the power of the Stones without a Gauntlet itself.
It's in this film that they are first directly hinted, given the fact that a right-handed Infinity Gauntlet was briefly shown in inside Odin's chambers. Although the Stones are not yet been explicitly mentioned in the MCU at this point, in a proper filmmaking point of view, this items are the McGuffin that keeps the entire Marvel Cinematic Universe franchise united. At the end of Thor, none of the six Stones have been revealed and located:
- Blue (Space Gem): Yet to be revealed.
- Yellow (Mind Gem): Yet to be revealed.
- Red (Reality Gem): Yet to be revealed.
- Purple (Power Gem): Yet to be revealed.
- Orange (Time Gem): Yet to be revealed.
- Green (Soul Gem): Yet to be revealed.
The Stones and their respective powers are to be revealed over the course of MCU's Phase 1 (Iron Man 2, Captain America: The First Avenger, The Avengers), Phase 2 (Iron Man 3, Captain America: The Winter Soldier, Thor: The Dark World, Guardians of the Galaxy, and Avengers: Age of Ultron) and Phase 3 (Ant-Man, Captain America: Civil War, Doctor Strange, Guardians of the Galaxy Vol. 2, Thor: Ragnarok, Black Panther, Captain Marvel, Untitled Spider-Man Reboot), ultimately culminating in Avengers: Infinity War - Part I and Avengers: Infinity War - Part II.