This is the first film in the Captain America trilogy and introduces the main character, his origin story, his relationship with Bucky Barnes, and the villain Red Skull
Captain America: The First Avenger
This is the second film in the Captain America trilogy and reveals that Bucky Barnes survived his apparent death and became a brainwashed assassin for Hydra, a terrorist organization that infiltrated S.H.I.E.L.D., the spy agency that the Avengers work for
Captain America: The Winter Soldier
This is the first film that features the Avengers, a team of superheroes that includes Captain America, Iron Man, Black Widow, Hawkeye, Thor, and Hulk, and their battle against Loki, the brother of Thor and an ally of Thanos, a cosmic warlord
This is the second film that features the Avengers, and introduces new characters such as Vision, Scarlet Witch, Quicksilver, and Ultron, an artificial intelligence created by Iron Man and corrupted by Thanos, who tries to wipe out humanity
This is the first film that features Ant-Man, a superhero who can shrink and communicate with ants, and who joins the Avengers in Captain America: Civil War, siding with Captain America