To Infinity Stones, and beyond.
The Marvel Cinematic Universe is a fascinating beast. Phase One of the films were structured to build up to an Avengers movie. Phase Two was designed to reflect on the action of said Avengers movie and see how the individual heroes coped. Avengers: Age of Ultron dropped the bomb (after escorting all the civilians onto a hovercraft and blowing up the city in the air so the impact wouldn't affect surrounding areas) that Phase Three will be all about the Infinity Stones.
These supernatural rocks are "an ancient force of infinite destruction," and James Brolin's Thanos character from Guardians of the Galaxy is trying to catch 'em all. These stones and Thanos' quest will now be the lynchpins of Phase Three, building up to the eventual two-part Avengers epic, Infinity War.
Let this special featurette educate you without having to buy by Age of Ultron DVD (or a whole lot of comics).