I'll have to with Black Widow. And maybe Captain America as well. But most of all, Black Widow. One thing that bothered me about the Marvel movies, preferably the Avengers one, is how they ignored to explain anything about Black Widow. If I didn't know any better, I would have thought she was no more than a hot chick with a gun lol. They failed to explain SO much. They did a good job for explaining the origins of Cap though and his WW2 roots.

Actually, now that I think about it, a lot of Marvel's accounts on Black Widow's origins have contradicted themselves. Long story short, we know that Ivan Petrovitch raised Black Widow. But then in Wolverine Origins #9, I distinctively remember how it tells a different story of her being raised by her father Taras Romanov

I think a lot of the appeal about Black Widow's back story comes from what we don't know. There is a lot of crazy stuff Cold War era Russia could have put her up to, just look at the real life KGB. What goes unsaid is what I find the most interesting.

In fact, that goes double for Winter Soldier. Not only do we not know most of the thing Bucky did in between his times on ice but he doesn't even remember himself. Mystery helps to ass a lot of mystique to a character