Before I get to spoilers, I can say that we see much more of Black Widow than I expected - I thought it would be a token appearance to keep the fans happy, but she's in a majority of scenes and pivotal to the plot. We also find out what happened to Peggy, see the Captain America exhibit at the Smithsonian (which does have some swastikas on view in historical film etc., something we didn't see in Captain America), where Cap is recognised by a kid who sees through his impenetrable disguise of a baseball cap. We also get glimpses of his apartment and his shopping list of things he needs to learn more about in the 21st century, and learn more about SHIELD - a lot more.
Then there's the actual plot -
Captain America is living a sightly lonely life in Washington, where he seems to be friendly with a veteran he's met on the streets, and sort of talking to the pretty nurse in the next apartment. Then he's sent off to deal with some pirates who have boarded a SHIELD launch platform ship, and it gradually becomes apparent that there is something rotten in the state of SHIELD - VERY rotten. After Nick Fury is assassinated (after some scenes of him being VERY kickass against about fifty attackers) it becomes clear that SHIELD has been pretty much pwned by HYDRA since the 1950s, and is about to take over the world on HYDRA's behalf. This involves the construction of a spy satellite network and three new automated helicarriers, which will be used to kill approximately 20 million "threats" to Hydra's version of Order and bring about world peace.
Naturally Cap. isn't very happy about this, and is soon on the run from SHIELD and the eponymous Winter Soldier, who turns out to be brainwashed Bucky Barnes. Once they've found out what's going on they have to stop it, and (while hiding out with Steve's friend the veteran) put together cunning plan which incidentally leads to the veteran becoming a new superhero, Falcon.
After that it's time to take out SHIELD, with the usual big special effects budget and a lot of collateral damage. This is unfortunately the point at which I think they slightly lost the plot - HYDRA's scheme is supposed to be global, but all of the SHIELD resources used for it are launched from SHIELD HQ and are supposed to start killing people immediately, in the Washington area. Which gives the rest of the world quite a lot of time to develop a response... There is also some silliness about Cap's plan, which I don't want to get too specific about except to say that too many film creators love big "ticking clock - seconds to doomsday - blow up the deathstar" plots. But at the end of it things reach a conclusion of sorts, and the movie ends at Fury's graveside, with Cap deciding to track down Bucky and save him from himself, and Natasha and Falcon presumably about to become full-time Avengers since SHIELD has been shut down, and all of Natasha's cover IDs have been blown. The being shut down part ought to make the remaining episodes of Agents of SHIELD quite interesting... This may be why they're changing the series title.
There are two scenes in the credits - one has some more HYDRA remnants plotting, with an important plot device on display, the other has the disguised Bucky visiting the Smithsonian and I suspect starting to remember.
All in, it's a fun romp which has thoroughly Jossed pretty much all fanfic involving SHIELD in the Marvel cinematic universe, and is hopefully going to be important in future films with this setting. I recommend it.
There was also a trailer for Guardians of the Galaxy, which looks to be pretty good, and Amazing Spider Man 2 which... doesn't. We shall see.