Iron Man (2008) is the first MCU movie — not just in the literal sense, but in the myriad ways it literally sets up the storytelling rules of the entire universe, right there in the first couple of hours. It features the first post-credits scene, the first mention of the Avengers Initiative, the first glimpse of Captain America's shield, the first Stan Lee cameo. It also lays down the themes of the entire MCU — men coming to a Road to Damascus moment where they have to rediscover their purpose, an obsession with a world born from the Nazis and the Manhattan Project and coping with what technology and a new arms race suggest about the inevitability of a World War III.
The Incredible Hulk (2008) features the first time an animal is harmed in the MCU (with Emil Blonsky shooting two dogs, including Bruce Banner's, with tranquilizers), and the first time the lead hero of one movie turns up in another one of the franchise's movies, with Tony Stark cameo-ing in Hulk's post-credits scene. It is also the first, and until Spider-Man: Homecoming only, MCU movie to introduce us to a hero while not being an origin story.
Iron Man 2 (2010) is the first MCU movie with a villain without facial hair (Sam Rockwell's Justin Hammer), and the first MCU movie to recast a lead character (Don Cheadle replacing Terrence Howard as James Rhodes). It is also the first MCU movie in which no one eats or orders pizza.
Thor (2011) is the first MCU movie to begin on American soil (Iron Man begins in Afghanistan, The Incredible Hulk in Brazil, Iron Man 2 in Russia). It is also the first film to go into off-Earth. It also the first to introduce us to an Infinity Stone: the Tesseract of the post-credits sequence.
Captain America: The First Avenger (2011) is the first MCU film in which the plot does not revolve around daddy issues (Howard Stark, Thaddeus Ross, Odin). It is the first MCU film to take place in the past, and the first MCU film to mention Vibranium.
The Avengers (2012) features the second re-casting of a lead character (Mark Ruffalo replacing Ed Norton as Bruce Banner). It also features the first appearance of Thanos, in the mid-credits scene.
Iron Man Three (2013) features the first time a character in the MCU loses an arm, a long-running joke ever since. Guy Pearce's Aldrich Killian does the honors.
Thor: The Dark World (2013) features the first time one of the "good guys” dies — without being resurrected later — in Renee Russo's Queen Frigga.
Captain America: The Winter Soldier (2014) features the first time we see Nick Fury without an eyepatch.
Guardians of the Galaxy (2014) is the first MCU movie to take place in outer space, and the first MCU movie without a kissing scene.
Avengers: Age of Ultron (2015) features the first death of a superhero in the Cinematic Universe — Aaron Johnson's Quicksilver (though they never call him Quicksilver).
Ant-Man (2015) is the first MCU movie in which the protagonist is a criminal. It is also the first MCU film to refer to Spider-Man.
Captain America: Civil War (2016) is the first Avengers movie without the word 'Avengers' in the title (let's be honest here). It is also the first time we see Wakanda.
Doctor Strange (2016) is the first MCU film to go to Asia, and the first MCU film to address "magic," treated as a meeting point between spirituality and quantum physics, and to enable multiverses within Marvel's cinematic reality. It is also the first MCU film to be released under Marvel Studios' standalone banner, with a new logo and fanfare.
Guardians of the Galaxy Vol. 2 (2017) is the first MCU movie with more than two mid- or post-credits scenes, gluttonously giving us five of them. It is also the first MCU to address all of those Stan Lee cameos — explaining that he is indeed one character appearing in different guises, on different "adventures.”
Spider-Man: Homecoming (2017) is the first MCU movie about teenagers.
Thor: Ragnarok (2017) offers up the MCU's first LGBTQ character, Tessa Thompson's Valkyrie. It is also the first MCU movie to star two Oscar-winners as members of the same family (Anthony Hopkins and Cate Blanchett).
Black Panther (2018) is the first MCU movie with an African protagonist, the first MCU movie in which the only two white featured characters have also played Hobbits, the first MCU movie to be released in the first three months of its calendar year, the first MCU movie to make more money in the U.S. than the highest-grossing Avengers movie, and the first MCU movie in which Wales is a member of the United Nations but the United Kingdom either isn't or doesn't exist.