There's a key piece of dialogue in 'The Avengers, as follows;
Tony Stark: "...What is Phase 2?"
Steve Rogers: "Phase 2 is SHIELD used the Cube to make weapons".
Now you could argue that this was resolved by the ending of the film with the Cube safely contained and on it's way to Asgard... but then why did Joss Whedon choose to say 'Phase 2'? Phase 1, 2 and now 3 of the MCU have been talked about for years now, with each Phase consisting of various films leading to a crossover Avengers film. So why not say 'Stage 2' or something similar?
What if the use of this expression is a deliberate clue as to what to expect in Phase 2 of the MCU leading up to 'The Avengers 2' – S.H.I.E.L.D creating weapons which in turn become a threat?
This was hinted at again in 'The Avengers';
Bruce Banner: "I want to know why S.H.I.E.L.D is using the Tesseract to build weapons of mass destruction".
Nick Fury: "Last year, Earth had a visit from another planet that had a grudge match that leveled a small town. We learned that only are we not alone, but we are hopelessly, hilariously outgunned... The world is filling up with people that can't be matched, that can't be controlled!"
Joss has said he wants Avengers 2 to be "...smaller. More personal. More painful, by being the next thing that should happen to these characters, and not just a rehash of what seemed to work the first time. By having a theme that is completely fresh and organic to itself". "When I first considered doing Avengers 2, my first question was what can I do that's new? Because I can't make it bigger....but I can make it better". “The creation of the team is not the happy ending. It is the beginning of something that is complex and difficult, and now I get to dig a little deeper. And maybe, while I’m digging, just twist that knife. And that’s exciting for me.”
I think Thanos is being saved for Avengers 3 so maybe Phase 2 will be centred around weapons – who should build them, who should use them etc – and the problems this might cause, especially if they fall in to the wrong hands...
There's been a few more developments to suugest this;
The official MCU tie-in comic 'The Avengers Prelude: Fury's Big Week' suggests that Coulson's experimental gun in 'The Avengers' was reversed engineered from the Destroyer armour (last seen in 'Thor') and perhaps powered by the Cosmic Cube (in a similar way to HYDRA's weapons in 'Captain America').
In 'Marvel One-Shot: Item 47' the end credits show that S.H.I.E.L.D is succesfully reverse-engineering the Chitauri weapon, first into a more human-friendly design, then into heavier vehicle-mounted weapons, and finally into an artillery piece. The results of this work are likely to appear somewhere in Phase 2 and/or 'Avengers 2'.
'Iron Man 3', the first film in Phase 2 is fairly stand-alone but Marvel's Kevin Feige says; “I would say that the exercise of this film is very much standalone, more so than any 'Iron Man' film since the first one. But because we are in Phase Two and we're heading towards another 'Avengers' movie, there's certainly a road that's being paved — you just might not notice it. While you're driving on the road, not knowing where it's going, you might not realize that there are road signs and signals and lane changes that we're setting up now — they might not be readily apparent the first time you see the movie."
I think the introduction of Extremis and A.I.M could continue to be an issue in Phase 2, especially in terms of the development of weapons to fight the new threats facing earth follwing the events of 'The Avengers'.
The trailer for the 'Agents of S.H.I.E.L.D' TV show show some sort of weapon possibly derived from alien technology.
So the threat in 'Avengers 2' wont be another alien invasion but instead it will be the development and use of weapons. This could lead to a situations such as;
S.H.I.E.L.D and/or Nick Fury clash with The Avengers.
The Avengers are split in thier loyalty to S.H.I.E.L.D and turn against each other.
S.H.I.E.L.D developed weapons fall into the hands of villains or certain groups (A.I.M, Hydra etc)