SPOILERS!!! I've been noticing that a lot of people aren't expecting Captain America: The Winter Soldier to be as impacting to the MCU as whole, which it is. I'm going to rundown a couple of theories on how this film might effect both Age of Ultron and Captain America 3. There entire write-up is filled to the brim with spoilers, top to bottom. So unless you've seen Winter Soldier, other released Marvel films or just don't care, please wait to read this. It's also possible there a major spoiler for Age of Ultron as well.
AGE OF ULTRON
The biggest shake-up revealed is Hydra being active since the end of WWII, spending the last 70 years infiltrating SHIELD and feeding the World Organization false information for their own gain. By the end of the film, SHIELD is sacrificed to keep Hydra spies out of play, leading to it's disband. Maria Hill ends taking a job at Stark Industries (possibly teasing her fling with Tony). I'm not entirely sure if this also means that Agents of SHIELD will have much a shelf-life after this. If SHIELD is gone in the MCU, how will they explain the show's title? I'm assuming that a group like HAMMER (Justin Hammer substituting for Norman Osborn?) might take on the role that SHIELD had.
The twins are being controlled by Hydra and Baron Wolfgang von Strucker. His method isn't actually new, as he's using Loki's mind-control spear to keep the pair under his thumb. It's possible that Strucker has been slowly turning many people against the Avengers (Hulk anyone?) and SHIELD, while in possession of this cosmic weapon. Basically as long as he's able to touch someone with the spear he might be able to turn them into a sleeper Hydra agent. It's very likely that the twins will eventually break free of this spell, and team-up with the Avengers.
We find out that Dr. Zola has willingly turned himself into A.I. back in the 70's, and this could be the real seeds for the development of Ultron. As we know that Zola is now capable of developing evil complex programs, creating Ultron while deviating JARVIS might be the work of Hydra and Zola, not Tony Stark or even Thanos. Ultron will eventually attempt a takeover the world, while taking on his mission becomes self-aware. Zola having this program backed-up somewhere else, is a strong possibility as there are a bunch of locations that data could be stored.
Programming Ultron to carry out the Terminator-style assassinations of millions of people, who will become threats to Hydra. Somehow effecting JARVIS with Zola's program (future threat algorithm could be what set's off Pandora's Box. It's possible the people targeted for destruction (along with Meta-Humans) in Winter Soldier could be similar to Quicksilver and Scarlet Witch, whatever they turn out to be. As Hydra is known for ethnic cleansing, trying to wipe-out mutants, Meta-Humans or inhumans, might be their new master plan.
I wouldn't be shocked to find out that Iron Man villains have been also members of Hydra. Specifically Stane and Killian, who have histories with Stark but also possible Hydra connections. We know that Stane was a longtime friend of Howard Stark, but it's revealed that Hydra had him killed. It's possible that Stane knew or even helped with this assassination, to gain more power within Stark Industries. Killian is a founding member of Advanced Idea Mechanics, which is a splinter group of Hydra and is also started by Strucker. This might be even more reason Hydra wants Tony out of the picture, as they seem has one of the biggest threats to their plans (along with Bruce Banner and Stephen Strange).
I'm sure Hydra was also the group that helped Loki with his takedown of SHIELD in Avengers. Making the whole MCU world even more sinister, thinking that Hydra pretty much has had a hand in a majority of the Earthbound villains. As Hydra is now in the open, it could lead to formation of a villainous super-group (Masters of Evil?), that could consist of Zemo/Strucker/Hydra, the Ten Rings/real Mandarin and whoever is now running A.I.M. (possibly Modok, who has been teased by the screenwriters). Ultron might not be the only threat towards the Avengers in the film.
Of course, the wind might change with what happens in Guardians of The Galaxy, but we've been told that Winter Soldier has the greatest connection to Age of Ultron. Guardians could possibly be it's own thing, opening the door to the cosmic universe while still in the same world as the Avengers. I'm going to be that Marvel is saving that crossover and cosmic threat for Avengers 3. Allowing Age of Ultron to have more personal and Earthbound threats for the heroes.
CAPTAIN AMERICA 3
Strucker and Hydra have been excellent present day villains for Cap, so it's expected that they'll return in some form. We have no idea if Strucker has a bigger role or not in Age of Ultron, but if he survives it having a part in Captain America 3 sounds about right. The world pushing forward with a new world defence origination (to combat possible homegrown and cosmic threats) in the wake of SHIELD being taken down, might lead to HAMMER or SWORD, with Hydra pulling the strings. Red Skull returning is something obviously fans are hounding the studio to see, but Cap luckily has one of the better MCU rogues gallery. Playing around with staple villains like Strucker or even introducing Baron Zemo, seem like better options.
Bucky finds himself without a handler or his mind being erased, as he discovers his true self (via his exhibit at the war museum), it's possible he might try to reconnect with Rogers. Leading to Bucky becoming a member of the Avengers. Although, membership is getting larger by the film. Since Sebastian Stan has a nine-picture deal with Marvel, we shouldn't rule out an appearance in Age of Ultron too. We've all been speculating that Bucky will take-on the Captain America mantle at some point in the future, as he does in the comics.
Brock Rumlow is badly burned at the end of Winter Soldier but still alive which means he could be picked-up by Hydra and put back to work. Maybe giving him another type of super soldier formula, one that Zola originally used on Bucky. I would expect Batroc might be returning as well, since we don't actually get to find out what happens to him, after being captured by SHIELD/Hydra.
The Captain America 3 theories and speculation are expected to be less detailed, as the directors and writers are just breaking the story at the moment. Trying to predict where the third film will be going is a bit harder than Age of Ultron, since we have more details on the Avengers sequel. However, it seems like Marvel is going to be using the Captain America franchise as the new launching-pad for bigger stories that effect the entire MCU. We might see the third film having a bigger impact on the rest of Phase Three projects, similar to this giant plot shake-up in Phase Two.