the avengers - In the marvel movies what order did S.H.I.E.L.D/Nick Fury appear to the main movie character

I remember seeing him first in Iron Man followed by the Incredible Hulk and lastly on Captain America. I don't remember watching him on Thor I didn't watch the credits on Thor because he comes in Iron man after the credits.

PS: I am assuming you're talking about Samuel Jackson as Nick Fury in the recent movies.

Edit: Forgot to add Iron Man 2 despite the fact I watched the movie on first day. It turns out there is a post credits scene in Thor like in the Iron man movie and SLJ does make an appearance there too.