It has just occurred to me that in the Agent Carter one shot they could have been teasing something. In it the mission Peggy goes out on is to go after a Zodiac operation in progress. When Agent Carter busted the Zodiac-op she took one thing: a vile of blue liquid similar in appearance to Super soldier serum but with a strange symbol on it. After you see the vile it is never alluded to, mentioned or shown again.
Here is my theory, Zodiac is born in the destruction of HYDRA but what they are dedicated to is shaping governments, acting like the "Illuminati" and controlling things from behind the scenes.
Everyone since the death of Dr. Erskine and the super soldier serum has been searching for a serum of their own. The Americans experiment with gamma radiation (the Hulk) and a serum with similar effect to Captain America's but without the use of radiation (the serum that Emil Blonsky uses in the Incredible Hulk before he is exposed to the gamma radiation and infused with Bruce Banner's blood to become the Abomination).
AIM created Extremis, Centipede created the "centipede" a cocktail of Extremis, knockoff super soldier serum and Chitauri technology.
Now here is my point, in the 1940's Arnim Zola and the scientists at HYDRA were most likely looking for their own super soldier serum.
Zola tested the serum that he created on Bucky Barnes when Bucky was held in captivity. This formula would come to be known as "infinity formula" and would give the user regenerative abilities and extreme longevity.
From the end of Captain America: The First Avenger all the way until at the last the events of the Agent Carter one-shot, SHIELD wanted to get their hands on the infinity formula but Zodiac had taken it in the wake of HYDRA's demise.
At the end of Agent Carter SHIELD has possession of the infinity formula but Zodiac has a secret weapon. Preserved (just like Cap) in the icy tundra beneath the mountain that he fell from (while on his mission to recover Arnim Zola), the body of Bucky Barnes lies in wait until it is recovered by Zodiac.
Zodiac wanted to find his body knowing that he was Zola's first and only test subject of the formula, hoping to be able to extract some of it from his frozen corpse. But to their astonishment Bucky is still alive, held in a hibernative state of preserved animation due to the serum's effects. Zodiac wakes Bucky up and brainwashes him, turning him into the first "super-assassin."
Somewhere along the way he loses his left arm, or possibly they have to amputate it when they find him, I choose the former since the level of technology that his cybernetic arm seems to exhibit would have to come a while later. It could have been a war wound of sorts.
He is used as their own private mercenary to help "shape the century" by crossing off anyone who stands in the way of Zodiac's vision. Zodiac has hidden itself in Soviet Russia, where they also keep the "Winter Soldier aka Bucky" housed. They know the Americans cannot enter Russia to extract them without the possibility of nuclear war.
When it comes to Captain America: The Winter Soldier, we know from Sebastian Stan that the Winter Soldier will not remember Steve Rogers or his life before becoming an agent of Zodiac. The Winter Soldier will wound Nick Fury as we see in the trailer. After Nick Fury is out of the picture Alexander Pierce will take control as Director of SHIELD, but Pierce will secretly be working for Zodiac.
Now Zodiac has seemingly achieved it's goal of running things from behind the curtain. They have taken control of SHIELD and made Captain America a wanted fugitive. To save Nick Fury's life Cap and Black Widow must break into the Triskellion and still the only remaining vile of infinity formula, acquired by SHIELD in the 1940's as we see in the one-shot.
As for who Pierce really is or if he "really" is anybody other than Alexander Pierce I have no theories. Perhaps he is Red Skull in disguise as so many believe, I do not believe this to be the case. Maybe he is Arnim Zola's consciousness in an android body, or Scorpio as my theory might corroborate. Whatever the case I think I am on to something with this tell me what you think.