heavy spoilers
[Age of Ultron ties The Avengers with Guardians of the Galaxy. Vision contains one of the four infinity gems that contain the ultimate power of the universe. One of those gems is also seen in Guardians of the Galaxy. Thanos, from Guardians of the Galaxy, has the Infinity Gauntlet, which can be used to combine the power of all of the gems. He is on a hunt for the gems, and he has one of them. All of those gems together can make a person unstoppable.
The movie also introduces two new important avengers, Vision and Scarlet Witch. A relationship is established between Natasha Romanoff and Bruce Banner. All of the robots planted around the world by Stark Industries are destroyed. Jarvis has been replaced by Friday. The old Avengers Headquarters has been replaced by a more secluded one in Upstate New York, and it will probably become the new S.H.I.E.L.D. in the future. There is important backstory on Black Widow/Natasha Romanoff, showing us how she used to be part of the Russian KGB brainwashing in the late 1900s, which is why she is as strong as she is. Her story of being a ballerina is what the Russians implanted into her mind (this stuff has to do with hydra, sooooo you were wrong about that).
There is probably some more stuff that I'm missing, but this film is very important to the Avengers movies and the Marvel movies in general.]
