Although the order of released was (1) Iron Man (2008), (2) The Incredible Hulk (2008), (3) Iron Man 2 (2010), (4) Thor (2011), and (5) Captain America: The First Avenger (2011), this is not the order in which the events of the movies occur. A rough chronological order for the films can be determined from the contents of each film:
1. Captain America: The First Avenger (2011) - With the exception of the films' two bookend scenes that take place in the modern day, the rest of the film takes place in 1942 during World War II and is therefore the first film in the series, chronologically speaking. During the final scene set in the modern day, Nick Fury explains to Captain America that he has been asleep "for almost 70 years". It could therefore be assumed that this scene takes place at the same time as the movie's release (2011) which would be about 70 years after Captain America was frozen in 1942.
2. Iron Man (2008) - The movie features scenes during the War in Afghanistan (2001 to present) and so can probably be assumed to take place in the present day of the movie's release (i.e. 2008). A prototype for Captain America's shield is breifly shown. The post-credits sequence also introduces Nick Fury first proposing "The Avengers Initiative" to Tony Stark.
3. Iron Man 2 (2010) - This movie follows shortly after Iron Man and again features Nick Fury trying to convince Tony Stark to join The Avengers Initiative as a more prominent subplot this time around. A rather different prototype of Captain America's shield makes a brief cameo in this movie, probably as just an item that used to belong to Howard Stark (established to be the creator of the original shield in Captain America: The First Avenger) and later inherited by his son Tony.
4. The video Marvel One-Shot: A Funny Thing Happened on the Way to Thor's Hammer (2011) bridges the gap between Agent's Coulson's departure in Iron Man 2 and his arrival in Thor, showing a short scene featuring Agent Coulson stopping at a Gas Station on the way to New Mexico and foiling an armed robbery in the process. This short film was included among the special features of the Captain America: The First Avenger DVD.
5. Thor (2011) - The post-credits sequence from Iron Man 2 features a scene taken directly from Thor in which Agent Coulson finds Thor's hammer in the New Mexico desert. Agent Coulson previously departs from Tony Stark's house for New Mexico midway through Iron Man 2, which would place the events of Thor roughly concurrent with Iron Man 2. S.H.I.E.L.D. agents even make comments about the resemblence (or lack of) between the Destroyer and Stark's armours, given the events involving Ivan Vanko's unmanned prototypes.
6. The Incredible Hulk (2008) - A subtle background reference in Iron Man 2 (showing the aftermath of the university sequence) suggests that as with Thor the film runs slightly concurrent with the events of Iron Man 2. The soundwave weapons used by General Ross to stop Hulk in the university campus are branded "Stark Industries", and this very scene is watched by Tony Stark in Iron Man 2 as part of a news capsule. The film then ends some time after, backed up by the final scene which shows Tony Stark, now as a recruiting member of The Avengers Initiative, offering their services to General Ross in his pursuit of the Hulk. Though this film features possibly the fewest of Avengers references in terms of S.H.I.E.L.D. presence, the use of Captain America's super-soldier serum is alluded to in the creation of The Abomination. In a deleted/alternative opening there was an additional reference not used: Captain America's frozen body and shield are shown buried in ice after Banner causes an avalanche in the Arctic while trying to commit suicide but instead reflexively turning into the Hulk. As this is a deleted scene, and Captain America is found inside Red Skull's plane, this should not be considered canon.
7. The video Marvel One-Shot: The Consultant (included on the Thor DVD) bridges the gap between the end of Iron Man 2, where Tony Stark is recruited as a "Consultant" for the Avenger's Initiative, and the end of The Incredible Hulk where Tony Stark is seen approaching General Ross in a bar. The short suggests that Agent Coulson was under pressure to add Emil Blonsky (aka The Abomination) to the roster for The Avengers Initiative, and so sent Tony Stark in his place to speak with General Ross, knowing full well that Stark would annoy the General to such an extent that he would be certain to refuse the request.
8. The Avengers (2012). Some loose details in the previous films have been addressed. Continuity points are expected to be developed in further films.
9. The video Marvel One-Shot: Item 47 (included on The Avengers DVD) takes place shortly after the events depicted in The Avengers. Following the Battle of New York, regular couple Claire Wise and Benjamin Pollack discover a Chitauri weapon and use it to rob banks, and are subsequently hunted by S.H.I.E.L.D. agent Jasper Sitwell.
10. Iron Man 3 (2013) takes place after the events depicted in The Avengers, but it has not been revealed whether it takes place before, during or after the events of Thor: The Dark World and/or Captain America: The Winter Soldier.
11. Thor: The Dark World (2013) takes place after the events depicted in The Avengers, but it is not yet known whether it takes place before, during or after the events of Iron Man 3 and/or Captain America: The Winter Soldier.
12. Captain America: The Winter Soldier (2014) takes place after the events depicted in The Avengers, but it is not yet known whether it takes place before, during or after the events of Iron Man 3 and/or Thor: The Dark World.
13. Guardians of the Galaxy (2014) takes place at an as-of-yet unknown point in the chronology.
14. Agents of S.H.I.E.L.D. (2014) takes place after the events depicted in The Avengers, but it is not yet known whether it takes place before, during or after the events of Iron Man 3, Thor: The Dark World and/or Captain America: The Winter Soldier.
15. The Avengers 2 (2015) takes place after the events depicted in Iron Man 3, Thor: The Dark World and Captain America: The Winter Soldier.
16. Ant-Man (2015) takes place at an as-of-yet unknown point in the chronology.
The announced Hulk TV Series (written and produced by Guillermo del Toro) is not going to take place in this same fictional universe. A more in-depth timeline assembled from information presented in each of the films can be found here.