ILM have put together an awesome behind the scenes featurette for The Avengers.
ILM Reveals Mermaid Secrets for Pirates of the Caribbean 4
ILM reveals thier mermaid secrets for Pirates of the Caribbean 4: On Stranger Tides.
Fully Assembled: The Making of The Avengers
Trevor Hogg chats with several VFX supervisors about their work on The Avengers in this huge article.
VFX Roll Call for The Avengers
This immense article about the VFX of The Avengers makes for a great read and gives great insight into the making of the film.