I don’t think Thanos really counts, yet, given that he’s barely been on-screen in the MCU. He’s really more an inciting event/force, albeit a highly-built-up one. We’ll see in Infinity War whether Marvel pulls off a good Thanos.
If you go back and take a second look at Age of Ultron, Ultron himself has some rather good stuff – although you have to pay attention to the AI montage sequences to really grok where he’s going. However, he’s in an overstuffed movie that doesn’t really give him enough time to develop.
What has historically made Ultron an effective Avengers villain in the comics is that he’s like the Terminator – he keeps coming back after you kill him, and this time he’s made some upgrades, so that rather than decaying as a threat as time goes on, he becomes more of a threat. And while Age of Ultron uses that within the film to a degree with the infected Starkbots through to the Adamantium Ultron, it doesn’t really land with the emotional weight it should have because a billion things are happening at once and there’s no time for anything.
So you don’t really get the atmosphere of increasing tension and danger that you should have, and then by the end of the movie all the Ultrons are gone – which misses the point of the whole Terminator-by-way-of-Frankenstein’s-monster that is Ultron. Perhaps this is because they’d gone all the way up to planet-killing with Ultron and didn’t have any space left to go forward (an argument perhaps that they should have kept Ultron’s ambitions at the level of “kill the Avengers b/c they’re a threat to world peace, also parental rejection issues” as opposed to “glass the planet”).
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