Iron Man, Thor, then Captain America.
The only thing about Iron Man that I didn't like was Pepper. She annoyed the heck out of me and some of her lines were just awful ("Oh, what's that? Is that a device? Is that like a device you're going to pick the lock with?" UGH!).
Thor was a bit lacking in plot, especially on Earth, but that movie was just so much fun. Who doesn't enjoy a bunch of Asgardians womping on the bad guys with sweet melee weapons?
Captain America was the most balanced. The characterization, plot, action, and pretty much everything else were good. The problem was that it just wasn't as exciting as the other movies. I don't want to say that it was boring (I did enjoy it), but it just felt really straight-forward and basic.