I'll start by saying that I will be referencing scenes in the movie that won't make much sense if you haven't seen it. It would be fun to read this now and remember these when you see the movie, but keep in mind
I will be spoiling most everything, as there are tons of easter eggs throughout the movie.
1. When Loki is about to kill Kurse with the grenade, he says, "I'll see you in Hell!" Now obviously, Asgardians aren't Christians, so they wouldn't even understand the reference to hell. In reality, he's saying, "I'll see you in
Hel!"... which is the name of the Asgardian afterlife. It's not a horrific place like Hades, it's simply where all Asgardians go when they die, a neutral afterlife. Most people wouldn't pick up on this little tidbit, but Marvel is pretty specific about the dialogue Asgardians use, and they would have absolutely known Loki would never reference the Lucifer Hell. So it's absolutely a little tidbit just for the comic book fans.
Loki's daughter, Hela, is the guardian of Hel. In the comics, it would be most likely that he survived Kurse by bargaining with his daughter to release him. As Loki is portrayed as much younger in the movies, I don't know if they'd go this route. He would have to have had her long before the first movie, while he is still Thor's innocent little brother. Though, having a child that's half frost giant may have freaked him out, and therefore they never speak of her. But, unlikely.
2. While Odin is explaining to Jane about the Aether while in the library, he mentions, "They are usually stones, but this one is different." He is actually referencing the Infinity Gems, which the Aether is. This is confirmed in the post credit scene, when The Collector mentions that it is one of the Infinity Stones. He asks why they didn't keep in on Asgard, and Sif says it's probably not a good idea to keep two stones in one spot, saying the Tesseract is also there. This confirms the Tesseract is also one of the 6 Infinity Gems. When Sif leaves, The Collector, in a very sinister way, says, "One down, 5 to go." This could imply that he's collecting them to create the gauntlet for Thanos. There aren't too many other reasons he'd say it like this. If he were collecting them to keep them from Thanos, he would have asked for the Tesseract as well. But it's clear he's collecting all 6, and he did not mention it to Sif. That's obvious villainy. So there's our first clue into the workings of GotG.
Now, if they do decide to go with the Time/Soul/Mind/Space/Power/Reality references, it would be obvious that the Tesseract was the Space Gem, as its main function was to allow instaneous travel anywhere in the universe. The Aether is most likely the Power Gem, as it was shown as bright red, and its main function was complete destruction. The power gem is also said to grant omnipotence even without the other 5, and that was a pretty good description of what was happening to Malekith at the end (at least a better description than any of the other 5). Finally, it's probable Loki's pokey stick in Avengers had the mind gem in it. He used it to control people, and it makes perfect sense as how it was able to breach the Space Gem's force field at the end of the movie, as it was of equal power.
The last time you saw it, it was in Black Widow's possession. Most likely it is in the SHIELD research facilities that also hold the Chitauri artifacts and the Destroyer remains. This is also verified by the Collector, as he says that Asgard only has the Space Gem now that he has the Power Gem. My one gripe about this connection is that means Thanos willingly gave away an Infinity Gem, which is ridiculous. But maybe he expected Loki to bring it back to him with the Tesseract, kind of a gambit to risk one in order to ultimately have two. Still very out of character for him. He's obsessed with the things, only to pawn one off on Loki?
3. If you notice when the guard goes to collect Loki's remains, it's the same guard Loki turned into earlier in the film. That was a pretty big wink. Also, at the end, when Odin is discussing Midgard and Jane with Thor, he's sitting on the throne very nonchalantly. Odin always sits regally, this was a very Loki-esque pose. He was slouched at an angle, just kind of chillin'. Odd to see Anthony Hopkins in that position, regardless of the character he's playing. It was very telling.
4. The Captain America cameo was in his Avengers suit, even though Chris Evans was working on Winter Soldier at the time... which uses two entirely different uniforms. This makes sense because that's the last time Loki saw him.
5. This is a big, big theory, and it's probably bogus... but stick with me here. In the comics, Jane Foster ultimately marries a human, and Thor has to choose between Sif and Amora the Enchantress to be the future queen of Asgard. He ultimately chooses Sif, which enrages Amora. Her compulsion from then on is, "If I can't have Thor, no one can," and she becomes one of his greatest foes. Now, Amora isn't in the movie. Obvious. Hthowever, I strongly doubt they'll kill Natalie Portman off in Thor 3. Now, if you remember, they set up a love triangle between Sif and Jane for Thor's affection. Odin mentions Sif is into him, and she even starts coming on to him in one scene. And then later on, she gives Jane the stink eye. I believe they will make Sif the Enchantress. There's little other reason why they would have set up those scene only not to acknowledge them later. And judging by the way they played out the Jane/Thor relationship, she's not going anywhere. Maybe a stretch, but I could see it.
6. Another small scene infused with theorycrafting: early in the movie you see Odin hesitate, as if to hold his arm, while he is giving command when the Dark Elves attacked (I think). They didn't really reference this, and maybe it was to show that he's just getting old. Or maybe it was to show he was close to the Odinsleep, which would explain why he was no where to be found by the end of the movie.
7. Kurse was able to alter Mjolnir's path on multiple occasions, which Hulk was unable to do when Thor hit him, when he tried to catch it, and when he tried to lift it. Most likely nothing important, but I just thought I'd throw that in there to jab at the
'HULK-IS-THE-STRONGEST-NO-EXCEPTIONS!!' cronies.
8. In the first Thor, Odin says something along the lines of, "By my father, and his father before him, I cast you out!" Now, in this movie, we clearly see Bor. But he's there millenia ago when the Dark Elves were abundant. If the Dark Elves came before the universe, this has to imply that fight occurred long after the universe was born, as Bor was an old man... and he had a father before him (Buri in the comics). Which then indicates the Dark Elves actually were around for a long time before they were banished, not just at the dawn of the universe. Loki states in the movie that humans die like Asgardians, give or take 5,000 years. I believe the convergeance takes place every 5,000 years (ish?), which indicates that it was at least 2 convergeances ago that Malekith was defeated, as Bor's son is now older than he was, and his grandson is already in his prime. Probably just rambling, but it puts things into perspective.
9. Heimdall could not see the Dark Elves, even when they were floating in space uncloaked. This is possibly due to the fact that they were "before his time," and he did not recognize them.
10. The rock creature Thor battles is one of the Stone Giants Thor fought in his very first comic appearance.
11. In the comics, Odin has two ravens named Huginn & Muninn, and they act as spies for Odin. They have appeared in every movie Thor has. In the original Thor, they were perched above Odin's throne when he was about to christen Thor king early in the movie, as well as by his bedside when he was in the Odinsleep. In the Avengers, they flew by as Thor was arguing with Loki atop the mountain. And finally, in Thor: The Dark World, Odin is shown listening to one on a balcony in his first appearance in the movie.
12. This one happened in a blink of an eye, but I believe there was a poster in London that read something to the effect of "Live the Journey, Explore the Mystery, etc". This is a reference to the original comic Thor appeared in, "Journey into Mystery." If someone catches what it fully says, I'll edit this to correct it.