Tesseract -- With Loki defeated at the end of the first Avengers, Thor took him and the Tesseract back to Asgard for safekeeping. There, in theory, it could be kept safe. Later in the chronology, however, Thor: The Dark World ends with Loki in disguise as Odin, and Thor being none the wiser. This should be bad news.
Aether -- With the Dark Elves defeated at the end of Thor: The Dark World, the Asgardians give the Aether to Benicio del Toro's Taneleer Tivan, "The Collector," for safekeeping. He has his own plans for it, which have yet to be revealed, but he returns in Guardians of the Galaxy and will probably be back in either Thor: Ragnarok or Avengers: Infinity War.
Orb -- After the Guardians of the Galaxy defeat Ronan the Accuser, the Orb is left in the care of the Nova Corps, which locked it away in a vault on Xandar. It's worth noting that in the comics, the Nova Corps has been destroyed or seriously crippled several times, so it's probably a safe bet that Thanos will strike at them early in his campaign.