I haven't seen Thor or Captain America, you don't need to see either of them to follow the movie, but there is a decent amount of stuff from both of them that ties into the Avengers plot. I'll probably go back and watch both to flesh out the plot a little more and because of the fact that I'm pretty sure there's going to be at least a sequel and it could matter there (among a few other reasons).
Also, I liked the 2003 Hulk movie better then the 2008, but the 2008 Hulk fits better with the Avengers.
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