Because we're not ready for him yet, Marvel Studios movies are building up to Avengers 3, the Tesseract from Captain America/Avengers and the Aether from Thor the Dark World are 2 infinity stones/gems from a collection of 6. Pretty sure we will see a 3rd in Guardians of the Galaxy, then I imagine the other 3 will be introduced in future movies.
When all 6 are together and placed in the Infinity Gauntlet (a glove like thing), the wearer of said Gauntlet is granted crazy God like powers, and Thanos wants this power.
Marvel isn't rushing anything and they're telling a story at a nice pace. When Avengers 3 is out and you see all 6 infinity stones/gems together, you'll remember them from each Marvel movie and be like 'I see what they did there'.
Besides Ultron is an awesome character and villain, I can't wait for Avengers 2.