Our first encounter with the infinity stones occurred in the first Avengers film. Known as the Tesseract aka the space stone, it served as the primary source of power for Loki's siege on earth. With the help of Thor, the Avengers were able to stop Loki and stop a devastating invasion of New York. With Loki in custody and the Tesseract in possession, Thor returned to Asgard with the cosmic cube and his brother in hand.
Stone's Current Location
Unfortunately, never one to miss out on mischief, Loki nabbed the Tesseract before Asgard's destruction by Ragnarok presumably leading Thanos to the survivors of Asgard. Only time will tell if this will lead to Loki's servitude or violent end.
The reality stone or the aether made its way into the MCU in Thor The Dark World. After the stone infects Jane Foster, Thor makes it his mission to protect her and the gem from the dark elf Malekith. After a fierce battle, Thor defeated Malekith saving Jane and the 9 realms.
Stone's Current Location
While Thor regrouped with the Avengers, Lady Sif and Volstagg took the aether to the collector Taneleer Tivan for safe keeping. Something tells me that stone (or him) won't be safe in his collection chamber for very long.
Not too far away, another of the sacred gems landed in the possession of a couple of crooks. Peter Quill aka StarLord stole the orb which contained the power stone. After teaming up with Rocket, Drax, Groot, and Thanos's adoptive daughter Gamora, the group looked to turn the orb into Tivan for a hefty payday. Unfortunately, the Kree radical Ronan The Accuser nabbed the Stone looking to destroy Xander. With the help of the Ravager faction, the Guardians of the Galaxy stopped Ronan and reclaimed the stone saving Xander and the universe from his wrath.
Stone's Current Location
After the Battle of Xander, The Nova Core took possession of the stone keeping it safe and secure...for now.
Meanwhile, The Avengers were having a massive ordeal with the powerful android known as Ultron. Intending to use the mind stone that was hidden in Loki's staff, Ultron planned to use that power to construct a new body more powerful than before. The Avengers, however, intercepted him and nabbed his new body returning it to Avengers tower. There, they inadvertently gave birth to Vision, the newest android hybrid infused with Jarvis's matrix. Together, Vision and the Avengers stopped Ultron and saved the people of Sakovia and the planet from annihilation.
Stone's Current Location
With Vision's creation came the task of having the Mind Stone as his primary power source. A dire situation that could very well make him a target for anyone looking to seize it for its power.
In the land of Kamar-Taj, The Eye of Agamotto which housed the time stone fell into the possession of Stephen Strange. Despite the threat of its power, Strange was able to use it to his advantage and prevent the onslaught of Dormammu and his Zealots saving the New York sanctum and the world at large.
Stone's Current Location
After the conflict, Doctor Strange returned the eye to Kamar-Taj. But something tells me he'll be needing it to help out some new friends.