ILM have put together an awesome behind the scenes featurette for The Avengers.
Behind the Magic: Marvel's The Avengers - Anatomy of a Shot
ILM go in-depth on one of the most impressive and challenging VFX sequence from The Avengers.
The Avengers - Visiting the Set
Quint from Ain't it Cool News has spent two days on the set of The Avengers, and has an editorial about it.
The Avengers - Massive Character Poster
There is a massive poster for The Avengers, with all the main characters, over at Worst Previews.