Hulk and Cap. Both characters are portrayed fantastically well, we all knew what the expect from Thor and Iron Man, but I was really surprised just how well these characters felt like real. Their own movies didn't do a great job of showcasing them, but The Avengers would not be as great as it was without them here. Plus man when Banner first Hulks out and is trying to kill Black Widow, that was actually kinda scary. I was impressed.
The team dynamic. The New York fight sequence in particular show cases this. Cap was in command and every character was used to their strengths, Cap dealing with ground troops, Hawkeye being the groups eyes and ears on top of a building while also offering support, Iron Man dealing with aerial targets, Thor and Hulk dealing with the big guns and Black Widow going to shut down the device. There was logic and strategy to it. You don't put Black Widow on screen, fighting right next to Thor, it wouldn't make sense. Joss Whedon played to each characters strengths, and weaknesses. On top of all that, the shots of the Avengers back to back in the middle of New York being surrounded by aliens was probably the most iconic thing I've ever seen in a super hero movie, or even most movies. Sure it's kinda cheesy, but it's really not until you see those shots that you realise just how amazing this movie is. It's easy to take a super hero and give him/her a movie to themselves, but to get this many larger then life characters from across 4 different franchises, pull them into one and make it work. That's a Mightily Incredible achievement.
SHIELD. The helicarrier, the tech, Maria Hill being all Hill-esque and finally we get the Nick Fury I've been longing to see, the ass kicking super spy. Samuel L Jackson was a great choice to portray Ultimate Nick Fury, and Agent Coulson, what a man, sucks he had to die, but realistically someone had to, and he was the best choice, his character was the one that tied the movies together.
Loki. He monologued, but it wasn't not cliché. His motivations aren't unlike those which he had in Thor, and the character felt consistent across the movies. But more than that, he was understandable as a villain, granted his plans are a bit mad, but it wasn't Joker Syndrome which so many villains get nowadays where they just want to destroy the world for no apparent reason.
Humour. Joss Whedon is arguable the god of defusing tension and seriousness with humour. He already had the craft mastered from Buffy, Angel and Firefly, and once again it works like a charm here