Which movie did S.H.I.E.L.D and/or Nick Fury first appear in and what order subsequently did the former appear in other Marvel comic book movie adaptions?
If you are talking about Samuel L Jackson or S.H.I.E.L.D. then it would be:
This should be it I think, its pretty much all the recent films released by marvel.
I remember seeing him first in Iron Man followed by the Incredible Hulk and lastly on Captain America. I don't remember watching him on Thor I didn't watch the credits on Thor because he comes in Iron man after the credits.
PS: I am assuming you're talking about Samuel Jackson as Nick Fury in the recent movies.
Edit: Forgot to add Iron Man 2 despite the fact I watched the movie on first day. It turns out there is a post credits scene in Thor like in the Iron man movie and SLJ does make an appearance there too.