Nick Fury

Nick Fury is the director of S.H.I.E.L.D.

Iron Man
Nick Fury appeared in the post-credits scene of Iron Man (film) to talk to Tony Stark about the Avengers.

Iron Man 2
Nick Fury found Tony Stark heavy with a hangover sitting on a Randy's Donuts sign. He got Stark to come down and talk with him, Stark told him that he doesn't want to join the The Avengers. Fury told Stark that he is not the only one out there like him. He also said that he's got problems in the South Coast.

Fury sent S.H.I.E.L.D. to Stark's house to keep guard after the fight between Stark and Rhodey. Fury mentioned that it was Tony's father Howard Stark who formed S.H.I.E.L.D. Fury gave Stark a casket which belonged to Howard. Fury assigned Phil Coulson to guard Stark and for Natasha Romanoff to remain as Stark's assistant.

In a secret S.H.I.E.L.D. hideout Fury briefed Stark on the events. Stark looked at his character evaluation which Natasha Romanoff wrote about him. Fury then told Stark that he wasn't suitable to be on the team but would be a consultant to S.H.I.E.L.D. instead.

Thor
To Be Added

Captain America: The First Avenger
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The Avengers
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