The Space Stone/Tesseract was first introduced in Captain America: The First Avenger and Loki used it to open a portal between Chitauri and Earth in The Avengers.
The Tesseract allows you the power over space, like creating portals from one place to the next. Thor took it back to Asgard at the end of The Avengers.
The Aether/Reality Stone can physically alter the nature of reality (Scarlet Witch’s power to alter a person’s perception of reality takes its cue from the stones, after all, the sceptre’s power was used to enhance the twins).
Thor’s grandfather originally hid the Aether on a secret planet, but Malekith the Dark Elf recovers it in Thor: The Dark World.
Deciding that two infinity stones in the same place was a bad idea, the Asgardians give the Reality Stone to the Collector in a post-credit scene in The Dark World. But, the Collector muttering “one down, five to go” bodes badly.
Guardians of the Galaxy starts with the Starlord dancing around long-dead planet Morag to steal The Orb. We soon learn The Orb is also known as The Power Stone, which grants its wielder unlimited destructive capability. At the end of the film the Guardians leave the stone with prestigious police force Nova Corp on Xander.
The Mind Stone put in its first appearance in The Avengers, hidden in Loki’s sceptre. The stone allowed Loki to mind control and brainwash whoever he wanted. Avengers: Age of Ultron saw android Vision becomes sentient thanks to the Mind Stone embedded in his forehead.
In Doctor Strange we learn about the Sorcerers Supreme, who protect Earth from mystical threats. The first of these sorcerers was Agamotto, who acquires the Time Stone. He places the emerald gem, which allows you to control the flow of the space-time continuum, inside a pendant.
The Eye of Agamotto was kept safe inside the library of Kamar-Tai until Stephen Strange (Benedict Cumberbatch) uses it to stop the dark lord Dormammu from conquering our dimension.
The Soul Stone is the last of the infinity stones to make a film debut. In the comic books it control the souls of any being, alive or dead, and can transport its owner to the afterlife.
It might make its debut in Thor: Ragnarok or not. It can’t really wait for Guardians of the Galaxy 3 because that comes after Avengers: Infinity Wars. We saw Adam Warlock’s cocoon in a post-credit scene in the second Guardians film, and he is traditionally associated with the Soul Stone in the comics, but we wait to see how it pops up in the MCU.