At the end of Captain America: The First Avenger (directed by Joe Johnston with Chris Evans in the titular role) you see Red Skull (Hugo Weaving) holding the Tesseract after being hit by Captain America's shield. This causes it to start glowing and Red Skull seems to dissolve into white light.
Does he die or was he merely transported to some distant place so he can return in another movie?
We finally learn this answer in Avengers: Infinity War. Red Skull is shown to have ended up on Vormir where the Soul Stone is located. He says that he attempted to acquire the Soul Stone, but doing so required the sacrifice of someone you love. Having no one he could sacrifice, he ended up as a guide for others trying the same path.
Thanos: How is it you know this place so well?
Red Skull: A lifetime ago, I, too, sought the stones. I even held one in my hand. But it cast me out, banished me here. Guiding others to a treasure I cannot possess. What you seek lies before you. As does what you fear.
Thanos: What's this?
Red Skull: The price. Soul hold a special place among the Infinity Stones. You might say it has a certain wisdom.
Thanos: Tell me what it needs.
Red Skull: To ensure that whoever possesses it... Understands its power... The stone demands a sacrifice.
Thanos: Of what?
Red Skull: In order to take the stone you must lose that which you love. A soul...For a soul.
Avengers: Infinity War
Red Skull thought extremely highly of himself, and viewed himself as an equal to the gods, who he viewed himself as walking in the footsteps of. The special effects we see when Red Skull holds the cube show the cosmos, followed by Red Skull dissolving into a beam of energy that shoots into the cosmos. These were very similar to the effects used when Asgardians used the Bifrost Bridge (the Rainbow Bridge) in Thor. So this scene is implying that the Red Skull got his wish, and he's now walking with the gods on Asgard, or one of the other 9 realms.
The ending of The Avengers provides partial confirmation, as
Loki and Thor use the Tessaract (the new name of the cube) to return to Asgard, showing that the Tessaract explicitly has the ability to transport people to the other realms.
If you pay attention the cube opens up a worm hole right there in the ship and a beam of light transports Red Skull the same way as the Bifrost works. If you pay enough attention in Thor you see that that's the way they teleport. And in the Avengers when Loki transports to Earth he uses the Tesseract. So indeed Red Skull got transported away to some distant realm by the Tesseract. Who knows he may have died there but he didn't die in the movie. I'm more curious if Marvel Studios brings him back at one point or another. And really I doubt he's on Asgard. As vile as he is the Asgardians would have either killed him or shipped him off somewhere lonely and dark.
He is transformed to another realm due to the Tesseract and then comes back in Avengers: Infinity War, where he guides Thanos to the Soul Stone.
