Retro S.H.I.E.L.D
Since we've seen that Howard Stark requests Peggy to run S.H.I.E.L.D with him, and it seems 'Dum Dum' Dugan and Colonel Phillips are still involved, it is conceivable that any or all of these characters could reappear any time that S.H.I.E.L.D is shown from mid-40's onward. This could be fun to explore in a further short film. Also if the One-Shot was set at a later date it could feature Hank Pym (if Ant-Man retains its rumoured 1960's setting) or even a 20-something year old Nick Fury from roughly the late 1960's/early 1970's.
This would provide links to multiple MCU films and characters and help set up the Ant-Man film.
Howling Commandos / Union Jack
Although the most recent One-Shot was set in the 1940's, Marvel could return to the period by exploring the adventures of the Howling Commandos. This could be set during the 'Captain America' montage and so feature Cap, perhaps Peggy Carter and/or Howard Stark and maybe give some more info on Hydra, especially if that terrorist organisation is to reappear.
Another option would be to branch off from the group and have Dum Dum visiting James Montgomery Falsworth aka Union Jack in London...
Loki
There is currently a petition for a solo Loki film. I personally think this is a bad idea and he is better suited as support in 'Thor', 'Avengers', 'Thor2' and perhaps 'Thor3' and 'Avengers3'. However a One-Shot set after 'Thor' could help explain
what happened to him before 'Avengers' as well as explain more about The Other and Thanos. This in turn helps set up Guardians of the Galaxy.
Sidekicks
One-Shots would be a good way to explore the supporting characters e.g. Black Widow & Hawkeye in Budapest, Iron Patriot completing a mission for the US government, Falcon stopping some street level crime, the Warriors Three on an adventure etc. These can also help set up and/or explain events in past or upcoming films.
Damage Control
In 'Iron Man', a TV ticker in the background of one of the closing scenes briefly mentions that Damage Control are rebuilding the area in which the film's climactic fight scene took place. A One-Shot concentrating on this group could be set after pretty much any MCU film and help explain how things go back to normal.
Introducing New Characters
Marvel Studios co-president Louis D’Esposito has raised the idea of using a One-Shot short film to introduce new characters; “I love Black Panther, he is one of my favourite characters, but before we have a filmmaker on board it is difficult to do anything because we want to involve them in the processes such as casting or design issues or even other areas for which one hires a director. So if we have a director on board and knew that we would turn Black Panther or Luke Cage or Ms. Marvel or whatever figure it is, then we would maybe [use them to introduce the characters]. But right now it is logistically a difficult hurdle.”
A way to avoid this would be to introduce locations or concepts without the main person – e.g. a Stark Industries team hunting for Vibranium in Wakanda...
Quill/Danvers
We know that in Guardians of the Galaxy jet pilot Peter Quill will somehow get stranded in space. It's been mentioned that he will be from the 1980's, suggesting some sort of wormhole or accidental time-travel. This One-Shot could be set in the 1980's (an era as yet unexplored in the MCU) and feature a young girl visiting an Air Base with her parents to witness Peter Quill's launch etc and afterwards she can declare she also wants to be a pilot – unaware that Quill is currently being sucked down a wormhole (setting up GotG). At the end of the clip we find out the girl is called Carol Danvers, introducing the future Ms. Marvel. The beauty of this is that it would introduce viewers to the star of GotG whilst also introducing Danvers into the MCU but without the need to have the actress cast or locked in.
Hydra/AIM/Zodiac
How about a One-Shot focussing on the bad guys?
Inhumans
With Quicksilver and Scarlet Witch set to join 'Avengers 2' but with Marvel unable to use their mutant background, its been suggested that they may be explained to be Inhumans – a result of the Kree experimenting with human DNA. This One-Shot could help set the scene for 'Avengers 2', 'Guardians of the Galaxy' and a future 'Inhumans' film.
What are your suggestions?