First, I think most of the Avengers survive Age of Ultron. After all they (Cap, Stark and Thor) have sequel movies to do so they must survive. Except maybe Hawkeye. In the trailer for Age of Ultron, you can see Bruce Banner visibly disturbed. He is clearly horrified, probably by something the Hulk did.
Hawkeye
I think the Hulk killed Hawkeye in their snow chase scenes, he also likely did it under influence from Ultron or Scarlet Witch. Joss Whedon has said an avenger will die in Avengers 2. Hawkeye dies in Avengers 2 was already rumoured until Jeremy Renner said his character would survive and may even have a role in Captain America 3, but I think he was just trying to put a stop to the leaks.
Nobody runs around in snow half-naked. Bruce Banner clearly has just Hulked out. By his facial expression and body language it is clear the Hulk has just done something horrible. The only other character we saw running in the snow was Hawkeye. My conclusion: the Hulk killed Hawkeye.
Another issue is Loki's Scepter. It has been confirmed by Kevin Feige as another Infinity Stone. It is on earth and I assume someone will either offer it to Thanos after Avengers 2 or Thanos will come and get it himself in Avengers 3 or before.
Loki's scepter
Captain America 3 will involve Steve Rogers, Tony Stark and Black Panther. I think this story is not too relevant to Avengers 3 or Thanos.
Robert Downey Jr, Chadwick Boseman and Chris Evans.
I think Thanos is going to be quite prominent in most of the movies in phase 3. It was announced that Thanos will be the main villain in Avengers 3 and he will have all the Infinity Stones by then. He will therefore have to start collecting them in the upcoming films, leading up to Infinity War.
Thanos will probably attack Asgard in order to claim the Infinity Gauntlet and the Tesseract in Thor: Ragnarok. Both items are on Asgard as far as we know.
The Orb
Thanos will then probably go after the Orb on Xandar which is under protection by the Nova Corps in Guardians of the Galaxy 2.
But the Aether's location is not known after Guardians of the Galaxy shows that Knowwhere, where it was supposedly kept, was blown up, so that will need to be resolved in one of the upcoming movies. Some people say The Collector still has it. We just have to wait and see.
The Aether. Where is it?
Finally, two more Infinite Stones are still to be revealed. One of them maybe found in Doctor Strange and I think either the Inhumans or Captain Marvel will locate the other. Both Tesseract and Aether were on earth. After all not all the Infinite Stones can be on earth right?
