Marvel Cinematic Universe Infinity Stones: What They Do and Where They Are
The Space Stone
The Space Stone was introduced to us as The Tesseract in Captain America: The First Avenger, and it later became Loki's power source to teleport the Chitauri army across the vastness of space in The Avengers. Its power is to open big space portals, obviously.
Where it is Now: Thor took Loki and the Tesseract back to Asgard at the end of Avengers. However, since Loki secretly usurped Odin's throne at the end of Thor: The Dark World, there's no way to be sure where The Tesseract/Space Stone is now.

The Reality Stone
The Reality Stone is a red viscous liquid also known as "The Aether," as seen in Thor: The Dark World. The Aether's exact power is unclear, but it is implied that it can transform reality and the universe in some way.
It was hidden in a pocket dimension that Jane Foster (Natalie Portman) stumbled upon, and was harnessed from her body by Malekith, leader of The Dark Elves. Thor ultimately got the Aether back from Malekith, keeping it in Asgard.
Where it is Now: The Asgardians didn't want two Infinity Stones in one place, so they gave The Reality Stone to The Collector (Benicio Del Toro) for "safe" keeping. Even though The Collector's Museum went BOOM in Guardians of the Galaxy, the Reality Stone is presumably still there.

The Power Stone
The Power Stone's power is pretty straightforward: it has seemingly infinite amount of raw (and very explosive) power. It was introduced to us in Guardians of the Galaxy as "The Orb," until Peter Quill and his team learned what it really was from The Collector. They ultimately stopped Ronan from using the Stone to blow up Xandar, home of the Nova Corps.
Where it is Now: The Power Stone is on Xandar in the vault of the Nova Corps, after Quill pilfered it from Yondu and put it in the right hands.

The Mind Stone
The Mind Stone was described by Tony Stark and Bruce Banner as being like an advanced A.I. - unlike anything we've ever conceived of on Earth. It has the power to control minds, enhance the user's intelligence, project energy, and can even awaken powers in people (like Quicksilver and Scarlet Witch), or create consciousness (like Ultron).
It first appeared as Loki's scepter in The Avengers, and was then taken from SHIELD and put into the hands of HYDRA, who used it to create "The Twins." The Avengers got the scepter back, and when Stark and Banner discovered the Mind Stone inside they used it to create Ultron - who in turn used it to create The Vision.
Where it is Now: By Thor's decree, The Vision now wears The Mind Stone on his forehead, as its protector.

The Time Stone (SPOILERS)
Warning: Doctor Strange spoilers follow!
The Time Stone's power is to control time. It was harnessed by Earth's first Sorcerer Supreme, Agamotto, and became "The Eye of Agamotto." It has been protected by the Masters of the Mystic Arts ever since, and was last seen used by Doctor Strange to defend Earth against Kaecilius and Dormammu.
Where it is Now: The Masters of the Mystic Arts still retain the Time Stone for safekeeping.

The Soul Stone
We don't yet know what the Soul Stone's function or appearance is in The Marvel Cinematic Universe. Theoretically, it could be changed from even being a soul-based power (though it likely won't).
Where it is Now: We have no solid idea. But fan speculation has long been ongoing, with Guardians of the Galaxy 2 or Thor: Ragnarok remaining the best two possibilities to see it appear. Personally, we're betting on Ragnarok's 'rise of the dead' storyline to reveal the Soul Stone (possibly in possession of Cate Blanchett's Hela?).

More Marvel
MORE DOCTOR STRANGE: Doctor Strange Confirmed for Avengers: Infinity War / First Look at Dormammu / Doctor Strange End Credits Sequence Explained / Doctor Strange Mid-Credits Scene Explanation / Doctor Strange is Officially Joining The Avengers / Possible Sequel Villain Revealed / Possible Sequel Story / Doctor Strange Early Reactions / Marvel Cosmic Connection Revealed?
Doctor Strange opens November 4, 2016; Guardians of the Galaxy Vol. 2 – May 5, 2017; Spider-Man: Homecoming– July 7, 2017; Thor: Ragnarok – November 3, 2017; Black Panther – February 16, 2018; Avengers: Infinity War – May 4, 2018; Ant-Man and the Wasp – July 6, 2018; and Captain Marvel on March 8, 2019.
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