Thus far in the Marvel Cinematic Universe, we've seen three items that are supposedly Infinity Gems (Stones?):
The Tesseract, as seen in several Phase 1 movies, but notably The Avengers,
The Aether, as seen in Thor: The Dark World, and
The Orb (specifically, the thing inside it), as seen in Guardians of the Galaxy
In The Avengers, we learn that Loki was working with/for Thanos to retrieve the Tesseract for him, in exchange for Thanos giving Loki an army to conquer Earth.
In Guardians of the Galaxy, we learn:
Ronan was working with/for Thanos to retrieve the Orb, or more specifically the stone inside it, in exchange to Thanos helping him destroy Xandar.
But I don't remember any mention of Thanos at any point in Thor: The Dark World. However, I only saw that movie on TV, once, and easily may have missed something. Has any attempt, in any of the movies, been made to explain why Thanos did not try to retrieve the Aether as well? I assume he's going to need to try at some point if he really is rebuilding the Infinity Gauntlet.