Updated with new information from Age of Ultron; see below.
I’ve left my original answer intact for people who haven’t seen the film yet, and who don’t want to be spoiled.
Signs point to Yes
A Marvel event on 27 Oct 2014 gave some new information about Phase 3, with film plans up to 2019. This included the next three Avengers films (incl. Age of Ultron). Inevitably this contains some spoilers for those films, but I’ve tried to spoiler-tag the worst of them.
The title of the third and fourth Avengers films are The Avengers: Infinity War, parts 1 and 2. This seems to confirm the long-standing speculation that Marvel is building towards an Infinity Stone climax.
Among other things, the fans yesterday saw a teaser trailer for Avengers 3: A copy of it has leaked online (YouTube), but I don’t know how long it will be up. The trailer is a montage:
e hear clips of Nick Fury, Odin, Gamora and Peter Quill discussing the Infinity Stones, alongside a clip montage that includes the Tesseract, the Aether, the Orb of Morag and Loki’s sceptre.
I take this as a pretty strong hint that Loki’s sceptre is an Infinity Stone, and that my initial assessment was wrong.
The trailer ends with
Thanos apparently wielding a fully-equipped Infinity Gauntlet. We see purple, red, blue, green and a large orange stone. Blue probably corresponds to the Tesseract, which means maybe Loki’s staff is green, or perhaps there’s a stone which wasn’t visible in this shot.
I’m leaving my original answer intact below, because I still think some of the reasoning holds up. In particular, I’m waiting for them to explain why Thanos would give Loki the sceptre if he was really chasing Infinity Stones, and didn't immediately retrieve it when Loki failed.
Reply hazy, ask again later
There's an interview with Kevin Feige where he hedges the question, in the context of Captain America: The Winter Soldier:
Interviewer: We see that Loki’s staff has not been forgotten about. Are we to believe that maybe that’s another one of the Infinity Stones, or is that just pure speculation at this point?
Feige: Well, it’s certainly pure speculation at this point. I’m not even sure if we even recognize Loki’s scepter [as an Infinity Stone], but that’s a big hint as to what will be causing them trouble in the next movie.
However, he’s not shy talking about Infinity Stones. He confirmed in another interview (spoilers for Thor: TDW) that both the Tesseract and the Aether are Infinity Stones. In the same interview, he confirms that the Tesseract is the Space Stone, but the Aether has yet to be assigned a canonical attribute. (Most people assume that it’s the Power Stone.)
Assuming they use the same six attributes as in the comics, the best guess is the Mind Gem, given the way Loki uses it to brainwash Selvig and the other SHIELD/NASA operatives. But for now, Marvel seem to be leaving their options open.
I don’t think it’s an Infinity Stone. Several lines in Avengers suggest a connection between the sceptre and the Tesseract:
On the rooftop, Selvig says:
“She wants to show us something… a new Universe.”
“She” is clearly referring to the Tesseract. Since he’s under the sceptre’s control, this suggests he has a bond with the Tesseract, so the two are connected. But you could read it either way.
The line you quoted in the question.
The Captain’s comment (when describing the sceptre):
“Sure works a lot like a HYDRA weapon.”
Depends on how similar you think the gems are, but I think it means the sceptre is fuelled by Tesseract energy specifically.
In the comics, all six gems/stones were different colours. We have blue and red already; I don’t think they would confuse matters by having some gems be the same colour, others different.
Plot-wise, if Thanos is trying to collect Infinity Stones, I don’t think he’d give one that he already had to Loki. That seems like an unnecessary risk. And if he can always get it back if Loki loses it on Earth, then why bother sending Loki in the first place? He could just send that person to pick up the Tesseract, sans risk.
In Age of Ultron, it is revealed that
Yes, it is an Infinity Stone. (Or strictly speaking, it contains one.)
Ultron breaks the casing to reveal a yellow stone, similar in size and shape to the Power Stone seen in Guardians of the Galaxy. Thor confirms that it is the fourth Infinity Stone to appear in the MCU; specifically, that it is the Mind Stone.