Captain America: The First Avenger
Avengers contributions: Captain America Origin / Tesseract Origin / S.H.I.E.L.D. Origin /Hydra Introduction
As a period piece, Captain America: The First Avenger had more freedom than any other Marvel movie (besides Iron Man) to tell an isolated, character-driven story. No matter how you feel about director Joe Johnston's handling of the action sequences; the inclusion of Nazi space-age lasers; or the contrived second-act montage that left things open for Captain America sequels to once again explore the character's WWII adventures - First Avenger, at the very least, told a great story about how a wimpy kid from Brooklyn realized his dream to become a real American hero.
The film is also a great example of universe building done the right way: While telling its own story, First Avenger also laid the groundwork for the entire age of Marvel superheroes to follow - including the technological race that would give birth to Iron Man; the super-solider research that would give birth to The Hulk; the revelation of Asgard's ancient history with Earth; the start of advanced terrorist organizations like Hydra, and the coming together of specialized agents that would rise to combat them (S.H.I.E.L.D.).
Captain America (which was, in part, guided by Avengers director Joss Whedon) found a coherent and relevant way to fit its narrative and character arcs around the convoluted frame that Marvel had designed - primarily by treating its various crossover elements as incidental to the story of the character around whom they revolved. To put it simply: the film did its job (told a story) and left the rest to comic book fans to geek over and piece together - and then explain to their friends.
Verdict: If not for that lackluster montage in the middle, First Avenger would be a perfect example of how to balance story in a shared movie universe. Instead, that honor goes to The Avengers.