Although the Infinity Stones first came into play when we were introduced to the Tesseract, a.k.a. the Space Stone, in the Thor post-credits scene, it wasn't until Thor: The Dark World a couple years later that it was confirmed that these powerful artifacts existed in the Marvel Cinematic Universe. Previously known as the Soul Gems (and later Infinity Gems) in the comics, the Stones have been floating around the Marvel universe for decades, each one infused with its own unique abilities. In case you've been having trouble keeping track of which Stone does what, not to worry, because Marvel editor Jordan D. White recently posted this handy explanation.
Jordan D. White's Marvel resume includes overseeing Deadpool, Guardians of the Galaxy and the Star Wars comic books, making him one of the more qualified people out there to provide an Infinity Stones tutorial. As you can see, holding just one of the Stones can make someone incredibly powerful, and if they have all six, then that turns them into the most powerful being in the universe. However, White later clarified with a fan on Twitter that the mastery element only applies to the new Marvel Comics stories, not the MCU movies. In other words, on the big screen, these characters don't need to have mastered using one of the Infinity Stones to enhance the corresponding Stone.
Warning: SPOILERS for Thor: Ragnarok and Black Panther are ahead!
Right now, five Infinity Stones are accounted for in the MCU. The Power Stone is still locked safely away in the Nova Corps vault, Loki retrieved the Space Stone before Asgard was destroyed in Thor: Ragnarok, the Mind Stone is still powering The Vision, the Time Stone is resting in Kamar-Taj as the Eye of Agamotto, and as far as we know, The Collector still possesses the Reality Stone. That leaves only the Soul Stone that hasn't been officially introduced outside of Collector's history lesson in Guardians of the Galaxy. While some speculated that we might finally see the Soul Stone during Black Panther, that didn't end up happening, though there's still a chance it is indeed resting in Wakanda judging by how the African nation will be an important battleground in Avengers: Infinity War.
In any case, Avengers: Infinity War will finally see Thanos coming to the forefront to collect the Infinity Stones for himself so become invincible, and it's already been confirmed in the trailer that he will obtain the Space and Power Stones at the very least. It will be up to the MCU heroes to stop the Mad Titan from filling all the spots in his Infinity Gauntlet, because the last person you want inflicting their will upon reality is Thanos.
We'll find out if Thanos gets his hands on all six Infinity Stones in the MCU when Avengers: Infinity War is released in theaters on May 4.