The Infinity Stones are the ultimate MacGuffins for the Marvel Cinematic Universe. Their presence has always been a centerpiece of whatever film they appear in, and the collection of all six will be a major focus point of the massive Avengers: Infinity War. This has led to fans to speculate and debate on where the remaining stones can be found, and after 14 films there's only one left: the Soul Stone. It stands to reason that it will appear in one of the final films leading up to Infinity War, but one fan theory believes that the Soul Stone has been with Heimdall this entire time.
Just to quickly recap, here are the location of all known Infinity Stones.
Space Stone: Safely tucked away in Asgard.
Reality Stone: Assumedly still with the Collector, though it could have disappeared after his collection exploded.
Mind Stone: Formerly Loki's Scepter, it's currently attached to the Vision.
Power Stone: Currently locked away with the Nova Corps.
Time Stone: Also known as the Eye of Agamotto, it's held at Kamar Taj under the watch of Doctor Strange.
That just leaves the Soul Stone, but this fan theory stipulates with some pretty convincing evidence that the Soul Stone has been seen as early as Phase One. Theorist Justin Ryne Short (via ComicBook) believes that the Soul Stone is actually with Heimdall, the guardian of the Bifrost Bridge in Asgard. Short speculates that the Soul Stone is what gives Heimdall his power of sight. Heimdall's eyes are orange, which is the same (or very similar) color of the Soul Stone seen in the Collector's exposition dump from Guardians of the Galaxy.
The color can be a coincidence, but there's more than that backing up this theory. In Thor: The Dark World, Heimdall says that he can see all the souls in the nine realms. In Avengers: Age of Ultron, Heimdall is blind in Thor's vision. Thor's vision, in particular, was foreshadowing for Thor: Ragnarok, so does this mean that Thanos manages to steal the Stone from Heimdall? Heimdall being blind could be for a number of thematic reasons (guy who see's everything is now blind = bad times are coming) but it works into this theory pretty well.
The theory has come good evidence, but there are some factors holding it back. The Aether was sent to the Collector in the first place because it was too dangerous to keep two Infinity Stones at Asgard, which already had the Space Stone. In that case, it doesn't make sense to also keep the Soul Stone there. Secondly, Thanos is already going to be stealing the Mind Stone from Vision, presumably killing him in the process. It's a little boring to have a similar situation repeated with Heimdall.
As it stands now, the Soul Stone could debut in Guardians of the Galaxy Vol. 2, Thor: Ragnarok, or Avengers: Infinity War. All of these are already pretty busy movies that might not have time to add an Infinity Stone, but we'll know more as new information comes out about these films.