Excluding The Avengers and just looking at the Phase 1 solos, Captain America I think is the best one. But Thor and Iron Man are both great as well, but I think each has their own pros and cons and it's about personal preference. For me, I don't think they could have condensed Captain America's entire WWII history into 1 film and it turn out any better than it did. We were not going to get either multiple movies in the era or a 2.5 hr movie, so I think they did an excellent job.
My biggest issue with Thor is it feels small. Asgard is only a few rooms and the town looks super cheap. It looks like a set and not somewhere people really live. Same for the Frost Giants realm. Story is great and helps make up for it, but it is something I notice everytime.