The Guardians movies focus a great deal on Thanos. The first movie not only has Thanos as a direct character, but it includes the exposition from the Collector about the Infinity Stones. The second movie further cements Gamora and Nebula's issues with Thanos, which will certainly be brought up in the upcoming film. Meanwhile, Thor: Ragnarok has Thor lose his hammer, shows Loki near the Tesseract, and ends with Thanos' ship shadowing over Thor's.
The second Avengers brings the mind stone into play and establishes Vision as a character. It also includes Tony Stark's dream sequence which shows the Avengers in very bad shape in some other-worldly setting. To top it off, Civil War puts the rest of our characters in their positions for the start of this next movie.
So far, we've just watched the first Guardians movie. I have to say, not only is it my favorite of the MCU movies, it's one of my favorite movies of all time. It hits all of the right buttons for me, enough that I can ignore some of the obvious plot holes. Considering it actually shows an infinity stone in action, I would say that it is the movie to see if you can only see one before the new film.