MCU Phase 1 and 2 / Unexpected Character

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Phase 1

Iron Man

Nick Fury in Iron Man. Though at the time it was little more than a Sequel Hook, it ended up being instrumental to the universe itself.

The Incredible Hulk

Tony Stark appearing in The Stinger of The Incredible Hulk, thus connecting this movie with Iron Man and setting the stage for the entire Shared Universe.

The Avengers

In The Avengers, The Stinger reveals that Loki's supplier is... Thanos. At the time, Thanos was, at best, a B-list Marvel villain who, while a recurring villain of the Avengers in the comics, did not have any connections to Loki.

Iron Man 3

Aldrich Killian was a very minor character in the Extremis-storyline in the comic book who commited suicide in his only appearance due to what his creation, the Extremis-virus did, but became the main antagonist in Iron Man 3.
The Stinger of the movie reveal's Tony's voice over was him talking to Bruce Banner, with Mark Ruffalo reprising his role from The Avengers in a surprising cameo.

Thor: The Dark World

The Stinger of Thor: The Dark World shows obscure The Avengers-villain The Collector, who goes on to appear in Guardians of the Galaxy.

Captain America: The Winter Soldier

That unfamiliar with the comic books were surprised that Cap's best friend from the first movie, Bucky Barnes, would be not only Back from the Dead but also be the titular antagonist before the title was announced and the trailer highlighted Bucky's return.
The trailers revealed the movie's twist of Bucky being an enemy to hide its other big twist; HYDRA being still active and hiding inside of SHIELD. Not only is HYDRA back, but Dr. Arnim Zola, a minor villain from the first movies, reappears as a computer program and the mastermind behind SHIELD's infiltration.
One of the characters revealed to be a member of HYDRA is Senator Stern who had a small, but impactful role in Iron Man 2 as he opposed Tony Stark to get him sharing his technology with the government. His cameo and The Reveal he works for HYDRA (which gives a different context for his scenes in Iron Man 2) came left-fielded for many fans.
With the movie taking completly place in the present day in contrast to the WWII-setting of the first movie, it seemed unlikely much of the supporting past would appear in the movie. While Steve, Bucky and Zola all cheated death in their own ways, Peggy Carter, Steve's love interest, also appears - as very old woman with dementia.
The Stinger reveals the first look at Wanda Maximoff and Quicksilver who would later join the Avengers in Avengers: Age of Ultron.

Guardians of the Galaxy

The entire Guardians of the Galaxy themselves are this. All of them were D-listers with Rocket Raccoon being the best-known if only for his appearance in Marvel vs. Capcom 3. It was thought the movie would fail for that reason. It didn't. Naturally, they jumped to A-listers in short time.
Howard the Duck appearing in The Stinger? Only that can top the above example.

Avengers: Age of Ultron

Due to their origin as X-Men characters (and Magneto's children, at that!), very few expected to see Quicksilver and Scarlet Witch in the MCU. Quicksilver, in particular, had already appeared in X-Men: Days of Future Past by that point. It is thanks to a reworking of their story to be products of HYDRA's experiments that they came into the film, with Scarlet Witch becoming a central character in the Avengers following this film.
Ulysses Klaue was a surprise addition, as Black Panther hadn't yet been introduced at that point.
Helen Cho (best known as the mother of Amadeus Cho), being a fairly prominent character in the movie.
More a case of unexpected actor: While a movie with "Ultron" in the title made it very likely that The Vision would appear, the unexpected part was that Paul Bettany, the voice actor of Tony's A.I. Jarvis since Iron Man would portray him as the movie makes Jarvis the groundwork for Vision.

Ant-Man

Ant-Man could be considered only second to the Guardians of the Galaxy in terms of obscurity, as he was a Joke Character and/or a Memetic Loser for his lame power set and it seemed he had been Adapted Out from the Avengers mythology.
Going even further, the choice of Ant-Man would likely raise eyebrows. Hank Pym, the original Ant-Man, founding Avenger, and important lynchpin of the Marvel Universe lore, instead appears as a supporting character and mentor to Scott Lang, the second Ant-Man. Though less controversial, Scott Lang was always a minor character who was never intended to headline, and was always much more obscure. For perspective, this isn't unlike opening a Spider-Man movie franchise starring Ben Reilly.
Hope van Dyne as the daughter of Hank. Her comic counterpart is as a villain in the Marvel Comics 2 continuity.
Darren Cross, who was a Starter Villain that appeared in a single issue before dying, is the Big Bad.
Falcon appears late into the film and has a tussle with Ant-Man over a misunderstanding.
HYDRA's involvement with Darren Cross, suddenly raising the stakes of the movie dramatically.
Arguably even moreso than the members of HYDRA, one of the buyers is connected to the Ten Rings. Who would have expected to see a member of the terrorist organization from the Iron Man films to show up in Ant-Man? This is especially true considering how the Ten Rings had largely been Put on a Bus since Iron Man.