Marvel One-Shots are a series of in-universe short films, one attached to each feature film's Blu-ray release, starting with Thor.
List
Thor (film) (2011)
The Consultant (2011)
Captain America: The First Avenger (2011)
A Funny Thing Happened on the Way to Thor's Hammer (2011)
Marvel's The Avengers (2012)
Item 47 (2012)