The series itself is very coherent. The universe that's created across five different films with four different directors and no repeat writers is so solid and self-referential that it's obviously a triumph of a great team pulling all the right strings in the background to keep this series consistent. With all the films working well as stand alone pieces, it would've been easy to just create five self-contained stories and have them all come together by co-incidence later on.
It's the little things that really put the polish on the series. For example, in Thor alone there are three standout moments that are easily missed unless you know what's going on: a reference to a scientist one of the main cast knows who was working with some interesting gamma radiation work (i.e. Bruce Banner of the Incredible Hulk), Hawkeye appears on screen for about a minute or two but is never named or given any real distinction other than the fact that he's the only military grunt with a bow instead of a gun and, when encountering some pretty impressive technology, one of the government agents asks if it belongs to Stark (Iron Man). Stark Industries, along with SHIELD is one of the major threads that runs through the entire series, providing technology and power to the "good guys" whenever it's needed. It might only be noticeable if you're looking for it, but you'll see the Stark Industries stamp on a lot of things throughout the series.
Individually, the films all work well alone. The weakest, or maybe just my personal least favourite is the Incredible Hulk (2008). But taken in the context of the terrible, terrible, just plain awful, film that came before it with the same hero (Hulk (2003)) , it's a masterpiece. Edward Norton makes for a good Bruce Banner and understandably gets a great deal more screentime that his green counterpart. Some of the scenes with the Hulk are visually interesting (and it doesn't take a genius to see the parallels that are drawn to the King Kong or Beauty and the Beast type stories of the misunderstood monster), but are ultimately quite boring due to his animalistic nature.
The Iron Man films are probably tied with Thor at the higher end of the scale. Iron Man 1+2 are not necessarily carried completely by Robert Downey Jr. but certainly wouldn't be the same with someone else filling the expertly tailored suits of Tony Stark. The first is the classic tale of redemption: apathetic man makes money without any real regard as to who is harmed in the process, suffers a great personal tragedy brought about ultimately by said lack of regard, becomes a good person and attempts to make right his wrongs. The second is a little weaker and follows a more generic good vs evil plot, but does introduce more elements to set up for The Avengers, most notably the inclusion of Scarlett Johansson's character who is more than she initially appears. The action takes a step up though. Chaos and quips fill the air as Stark takes on multiple enemies from glitzy location to glitzy location: from the racetrack of the Monaco Grand prix to the Stark Expo in metropolitan New York City.
Thor (2008) saw the introduction of probably the least well known of the Avengers team. A Norse god (although actually some sort of alien being from across the galaxy) cast down from his native Asgard to Earth and stripped of his powers, Thor must mature and learn what it means to be a real hero rather than a warmonger. Striking a fair balance between plot development and laughs, we follow Thor as he matures from a bloodthirsty anger fuelled young man into a proper leader with the help of an intelligent but often impressionable young scientist in the form of Jane. There is a very vague message about genocide and why it's wrong (shocker!), but most of the enjoyment of Thor comes from the gags rather than the deep messages, as should be the case with any superhero movie really. I could have easily watched another hour of a Norse god attempting to adjust to small town life in New Mexico, with him smashing coffee cups and trying to find dogs to ride all over the place.
Captain America (2011) didn't really do anything for me. Maybe it's just because the character is obviously the fantasy of every generic nerdy kid who got picked on in highschool, but the whole thing feels very uninspired to me. It's not particularly bad, or particularly good. There was ample opportunity to make some really good satirical messages about American imperialism and the like, but with the nature of the Avengers series it pretty much had to be played straight. You end up with a righteous hero who can't really do any wrong from start to finish and comes across as very high and mighty.
The Avengers has managed to set itself up in very good standing with all these films, even the "worst" one is still enjoyable, and I just hope it can deliver. With plans already in motion to continue the series (filming for Iron Man 3 began this month in North Carolina, here's some photographic proof from the set) it's clear this cinematic universe isn't going anywhere any time soon. I just hope it can keep up with its own hype train.
Also, a bonus trailer I just saw and quite enjoyed. Some more Edward Norton in Wes Anderson's Moonrise Kingdom: