If a Thor movie comes after Avengers, than Loki would work as the first villain. If Thor comes first, than I think they should pick another villain.
It's a little tricky, because unlike X-Men, Spider-Man, and FF, the Avengers don't really have that one single milestone villain that is always associated with the team.

-Men have Magneto,

has

(or

), Skull and Zemo (Cap's got them covered), and the

have Doom. A lot of those guys came from other books.
As for the Avengers, they've got Kang (who's also FF), Loki (who's mainly Thor), Mandarin (who's all over Iron Man). Ultron comes close, but he needs a hefty backstory. Very few of the best Avengers villains originated in the title itself.
The first villain shouldn't be too out-there, like Thanos, but still be a substantial Earth-shaking threat.
Kang would make a nice behind-the-scenes villain for the whole series of movies, manipulating events, setting up villains.
I could definitely see the
Masters of Evil for the second film, for the first one I'd go with a solo villain or two, like
Loki.