As it turns out, looks like that Nick Fury guy will pop up in Captain America: The First Avenger.
Though it was once believed that Samuel L. Jackson would take a breather from doing cameos in Thor and Captain America (Clark Gregg needed the work), it was decided late in the game to give him an appearance in each. This is to guarantee that potential Avengers audiences are fully aware of Fury, and to avoid a repeat of the problem you had when you went to see Iron Man 2 and your girlfriend noted at the end of the movie, “Who was that eye-patch guy?”
Anyway, check out Comic Book Movie‘s spy photo from the Times Square set that show Fury and Chris Evans meeting in modern day. Are they discussing the changes the world has seen in the past 66 years, or are they deciding if they should go to Olive Garden? TGI Friday‘s is right across the street after all.