The Marvel Cinematic Universe refers to a series of films based upon popular comic characters and storylines produced by Marvel Studios that are part of a shared universe. The Iron Man, Hulk, Thor, Captain America, and Avengers movies are all part of the MCU, as well as the television series Agents of SHIELD and Agent Carter. For a full list of properties included in the MCU, see the other wiki.
In Canon Edit
The Marvel Cinematic Universe is much like the Marvel Comic Universe.
It is important to note that, while a number of other films based on Marvel properties, such as X-Men, Spider-Man, and The Fantastic Four, have been produced, they are not considered to be properly part of the MCU, as they were produced by other studios. (Though to make matters even more confusing, Marvel Studios will be releasing a Spider-Man film of their own in 2017.) Elements and characters from these movies, such as mutants and Reed Richards, are not technically canon for the MCU; their presence in a fanfic may be a charge unless the fic is marked as a crossover.