Back in April of last year, rumors began circulating that Marvel Studios planned to follow its most ambitious movie to date, the super-team movie The Avengers, which is currently in production and scheduled for a May 2012 release, with "small scale movies" based on "third tier characters" like Luke Cage and Dr. Strange. In a live webchat last December, Marvel Studios President of Production Kevin Feige said that the "shorts rumor was just a rumor," but added that he does "like the idea."
It appears now Feige might have liked the idea of short movies enough to actually make them a reality. According to FilmSchoolRejects, Marvel has already shot two short movies and that one will be included in the special features of each of the home video releases of Thor and Captain America: The First Avenger. It is unknown what Marvel superheroes, if any, will appear in the shorts, though S.H.I.E.L.D. Agent Phil Coulson (Clark Gregg), the "glue" that binds the Marvel Cinematic Universe together, is said to appear in each one.
While FilmSchoolRejects added a "note" to the end of the shorts article explaining the "news originates from a source on the periphery of Marvel Studios," CBM recently posted a list of the special features that will supposedly accompany the Thor DVD and one of them might just fit the bill. In addition to special features detailing the creation of the Frost Giant Laufey and the "Music of the Gods," among others, there is a feature titled "Marvel One-Shot: The Consultant" that seems like it could be one of the shorts in question.
For non-comic fans, a "one-shot" is a standalone comic book that is not part of an ongoing series or mini-series. One-shots are often used to introduce new characters or to tell stories that don't necessarily fall within the current continuity of a given title so this would be the perfect title of Marvel's supposed line of short movies. Marvel does have a character named "Consultant," but it is a highly-evolved hippopatamus and not a very likely candidate for a short movie, so who or what "The Consultant" of the special feature is remains to be seen.
It's also worth noting one of the special features is titled "Marvel Studios - The Avengers," so this might be our first look at the making of writer-director Joss Whedon's adaptation. Of course, this is mostly speculation and wishful thinking at this time.