Avengers: Age of Ultron is one of Marvel's biggest films ever, and it is another step for Marvel's Cinematic Universe. As always in Marvel movies, there are constant references to its original comic book source material that the non-comic-book crowd might not be aware of. Here is a list of what comic book Easter Eggs show up in the film that are allusions to their comic book source material but future Marvel films.
At the beginning of the film is an almost James Bond action sequence as the Avengers storming the castle stronghold of Baron Strucker. It might seem to some that Baron Strucker seems to come out of nowhere, but he was unveiled at the tail end of Captain America: The Winter Soldier. For those of comics, he is a big lead at Hydra as well as former ex-Nazi officer. Too bad he wasn't seen, even briefly in the first Captain America movie, but it is probably difficult to think ahead that far.
The Crimson Cowl
At one point in the comics, Ultron developed an alternate alias known as the Crimson Cowl. When Ultron in the film meets Quicksilver and the Scarlet Witch, he is wearing a red headdress that is very reminiscent of those times.
Stan Lee Cameo
Anyone who has seen Marvel movies know that Stan Lee, the creator of Spider-Man, Hulk, and most of Marvel's legendary characters, loves to make cameo appearances in Marvel films. In this one, he plays a World War II veteran who can't hold his liquor, because he's drinking some of Thor's. In real life, Stan Lee did fight in World War II, and spouts his "Excelsior" catch-phrase.
Black Widow's Backstory
Black Widow is one character who is stated in the previous Avengers film has a lot of blood in her past, and the current film shows her training to be an assassin. This is a reference to The Red Room, a K.G.B. espionage training facility that made Black Widow the woman she is, for better or worse.
Veronica and the Hulkbuster Armor
When Tony Stark needs something that will stop the Hulk, he calls in Veronica, and his Hulkbuster armor appears. This is a nod to comics, but just not to Marvel Comics. Veronica is a character from Archie Comics who is a rival girlfriend to Betty, the girl that Archie also wants. Since Hulk wants a woman named Betty (at least he did in both Hulk movies), it stands to reason that his rival would be Veronica. It's obscure, but many others have noticed this connection.
This assistant to the Avengers turns up out of nowhere after the big opening scene. She is a character from the comics, but much older.
Iron Man's new A.I.
Since Tony Stark effectively transferred the intelligence of Jarvis into The Vision, I guess he felt he needed to replace the operating system in his Iron Man Armor. He chooses to go with Friday, which is a reference to the film His Girl Friday rather than any comics reference. Still, Tony has an option of using a program known as Jocasta, which was the name of a robot with a female appearance from the comics. In that comic story, Ultra creates Jocasta.
The Thor Storyline
It was odd to see Thor leave midway in the film, but considering what happened at the end of Thor II: The Dark World, it is easy to see why. It was revealed that Loki had taken over Odin, somehow. Seeing visions of Asgard in Hel is probably laying a plan for Thor: Ragnarok, coming to theaters on July 28, 2017.
Prelude to Civil War? Of Course.
We are about a year away from the release of Captain America: Civil War on May 6, 2016. This film will focus on a conflict made famous by a Marvel crossover storyline that featured new legislation that worked against superheroes. With Iron Man apparently leaving at the end of the film, and a line where Captain America says to Iron Man when he says "he has yet to see his dark side", this will definitely lead to a fight between Cap and Iron Man that will have to compete with Batman v. Superman next summer.
Klaw is a Marvel character best known for wearing a sonic weapon on his right hand, and is a villain for the Black Panther, another Avenger (with a film planned to be released in 2018). This "Master of Sound" was kind of revealed as Andy Serkis played a character with his name in the film, and he even lost his arm.
Thanos and the Infinity Gauntlet
For most Avengers comic fans, this is addressing an elephant in the room. During the credit sequence, we see Thanos, who was present in both the first Avengers and Guardians of the Galaxy films, pick up a gauntlet that could use a few infinity stones. There are two Avengers movies planned that will deal with this famous plotline from the Avengers comics. Avengers Infinity War Part 1 will appear in theaters May 2018, while Avengers Infinity War Part II will be the following summer in May 2019.