Guardians of the Galaxy will tie into The Avengers 3

Curiosity is rising regarding Marvel's next release, Guardians of the Galaxy, in terms of how it will tie into the Marvel Cinematic Universe. Director James Gunn recently spoke on the subject and said it will tie into the third Avengers installment.

Captain America once again served as a prequel to The Avengers with The Winter Soldier going right into The Avengers: Age of Ultron. Speculation about how Guardians of the Galaxy will tie into everything has been elaborated on a bit by director James Gunn.
Gunn made perhaps the biggest statement by confirming that Thanos will be appearing in GOTG via motion capture. Thanos is described to be the "head of the snake." Many assume the villain would appear in the second Avengers film, but he was passed over for Ultron and now it seems that reason was so he could appear in Guardians of the Galaxy.
In addition to this, the Infinity Stones have been teased in the existing Marvel films. In the comics, Thanos collects the stones to power The Infinity Gauntlet which gives him ultimate and unlimited power. So far the "stones" we have seen are the Tesseract and the Aether. From what we have seen from Guardians of the Galaxy so far, the orb sought after by Star-Lord might be serving as another piece of the Gauntlet. I also wouldn't count another piece appearing in Ant-Man.

The one thing we need to remember regarding this movie is it is a precursor and introduction to Marvel Phase Three which is moving away from the main heroes we have been dealing with since Iron Man's debut back in 2008. We are dealing with different villains, different heroes, and different stories. I am sure there will be some things from Phase Two that will carry into Phase Three, but for now this is what we have and it is mighty exciting.