The first stone known as the Space Stone
Locked inside a green case called the Tesseract, the space stone which is ironically blue is used to set up portals for people to travel to different places on one planet as well as others, including dimensions. After the Tesseract was introduced in the end credits of Thor, it was used as the main item in Captain America: The First Avenger, the Red Skull thought it was an energy source with power to permanently destroy his enemies before its power warped him into a different part of the universe before Captain America crashed into the ice and he and the Tesseract were recovered by SHIELD and Howard Stark. It's true purpose of power was revealed in The Avengers 2012 film to be used for dimensional transport as Loki used it to get to Earth to bring the Chitauri into Manhattan to conquer Earth and with Thor using it at the end of the movie to get himself and Loki back to Asgard before having it locked away in Odin's vault.
The second revealed infinity stone revealed to be the Reality Stone
shouded in liquid known as the Ather, the reality stone was sealed away by Odin's father safe away from the Dark Elves. But once the convergence occured in Thor the Dark World, Jane Foster found herself sucked into the room where the Ather was kept hidden and then exposed to it. After Malekith and his Dark Elves killed many asgardian soldiers in attempts of retrieving it and after Thor's attempts of destroying the ather failed because of it's capability to regenerate which left him no choice but to have Sif and Volstagg deliver it to the Collector after defeating Malekith
The third stone revealed is the Power Stone
It was sealed inside an orb found by Peter Quill/Star Lord who was intending to sell it before running into his teammates on Xandar and the Kilm. Thanos made a deal with Ronan to bring the stone to him so that he would in return destroy Xandar but after Ronan betrays him over the Mad Titan calling him a boy and keeps the stone so he would use it to destroy the planet himself only to be stopped and killed by Starlord who uses the infinity stone's power against him before handing it over to the Nova Corp for safe keeping. Seeing how Ronan used the Power stone by weilding it in his hammer was precicely why Marvel Studios chose him as the main villain for Guardians of the Galaxy because seeing how the Collector's assistant Corina got herself killed by the stone's intense power just by touching it, it was obvious that Marvel wanted a villain that can improvise on using the infinity stone's power wihout doing so by touch.
The fourth infinity stone was the Mind Stone
Just like the stone in the Tesseract, the color of the mind stone was yellow instead of blue like the crystal that it was sealed in, as Nick Fury believed that Loki's scepter was powered by the Tesseract in the Avengers 1 film, the reason for that was all because both the cube and the scepter had the 2 infinity stones. Sometime inbetween the Avengers and Captain America the Winter Soldier movie, HYDRA managed to take posession of the scepter while the terrorist organization of stubborn and corrupt soldiers and operatives themselves remained hidden while having SHIELD compromised. The cell that Baron Stucker was stationed within Sokova had been experimenting the gem's power on childeren and the Maximoff twins we the only ones that survived. After Tony took the scepter back to Avengers Tower, he was willing to study it while creating Ultron. But without realizing, the sceptor while hooked up to Tony's computer system had the gem's power flow directly into Ultron,, bringing him to life but also corrupting him into being so reckless and incooperative as it drives the AI into going berserk into destroying human life. Once Ultron was able to open the crystal, he puts the yellow gem onto Vision's forehead so that he would become more powerful but his plans of having his mind downloaded into the body were prevented by the Maximoffs and the Avengers and just as Captain America and Iron Man and everyone except Black Widow and Thor argued and fought over what is too risky or what is best, Thor brings Vision to life and as he refers the yellow gem on Vision's head as the Mind Stone to his friends, the asgardian himself starts setting up the road to the 2 part infinity War films by mentioning the Infinity Stones. Of course seeing how Marvel had the film so heavily and dramatically focused on the mind stone it explains why Kevin Feige chose to rip us off with one villain Ultron from the moment he revealed the Avenger's sequels title as "Age of Ultron" instead of half 6 to 8 villains for the MCU's Masters of Evil is all because of how creative they want to be on the characters in such total disregarding controversy that they chose progress over our excitement and proof that the Mind Stone is the main reason for their desire to rip us off with Ultron is because of the Gem on Vision's head as well as lacking patients,
Now there are only two infinity stones left
which are the green and orange stones as each of the two are yet to be identified as the time stone and the soul stone Surely because Marvel Studios is purposely intending to make Daniel Brühl's Baron Zemo the villain for the upcoming Dr. Strange movie instead of using one of the Sorcerer Supreme's actual foes from the comics is definately because they are sure to feature one of the two infinity stones in this film and the one infinity stone that is sure to debut and be used by Zemo in this film is the Soul Stone because of how supernatural it is for the stone's power to be used to bring back and take control of the dead its obviously the perfect stone for the film to feature and as for the Time Stone, the best film for the stone to show up in before Avengers Infinity War Part 1 and 2 is Captain America Civil War because when it comes to war, people and heroes die when fighting or getting caught in it and because of how Marvel has these films so heavily and dramatically focused on the infinity stones and because many african civilians are said to be killed on set which would make the government officials take control and regulate superhuman control which would eventually lead heroes on different sides into wiping eachother out and if more than a few superheroes get killed off in battle and with Iron Man and Captain America as the last two standing, their struggle in fighting eachother would lead them into crashing into a building where the time stone is being kept and if any of the two heroes triggers its power by hand when either of them notices it inside a certain item like an hour glass whether its in the center or one of the opposite ends and its power would send the back to the day before Captain America and the Avengers that joined him (at the end of Age of Ultron) take on Crossbones and his goons in the highly populated African village that starts the film's main plot. From there Captain America would discover that he is reliving the same day but would also take the oppertunity to improve on the Avengers' mission on bringing down Crossbones by making sure that there are no civilian casualties while taking down the nefarious villain and his men thus preventing the government from making any attempts of regulating superhuman control and saving everyone of his friends and allies from killing eachother off over their opposite opinion of who each of them can be trusted to operate with or without government approval and hopefully none of the heroes in this movie will end up dead.. To find out if my theory on the last 2 remaining infinity stones on what upcoming phase 3 films they will appear in and how would their powers be used in each upcoming sitiuations that the films are about to have, please stay tuned for more updates.