Okay, so in answering this I have to first throw out a disclaimer and say that there isn't really a "right answer". As the Marvel Cinematic Universe is still developing, all that I have right now are two theories. You can decide for yourself if you think they are any good.
First, some background for anyone interested in the topic but unaware of what the Infinity Gems/Stones are. All the information about to be quoted comes from the Marvel Wiki:
Power Gem – Increased strength and durability, enhances virtually any
known superhuman ability, energy manipulation.
Time Gem – Time travel;
stop, slow down or speed up flow of time; accelerate or slow down
aging; see into past/future.
Space Gem – Travel through space, mostly
through teleportation. Able to interfere with the motion of other
Soul Gem – Observe, attack or even steal a being's soul or
spirit. Also used to revert individuals to their natural state.
Reality Gem – Alters all of reality; similar to the effects of a
Cosmic Cube, but much, much higher.
Mind Gem – Near-limitless
psionic/psychic abilities including empathy, telepathy and
In the Marvel Cinematic Universe, the Infinity Gems are the Infinity
Stones, and appear to be connected to the Nine Realms. Currently, only
two Infinity Stones have been named - the Tesseract of Asgard and the
Aether of Svartalfheim.
Please note the line I've italicised, as I'll refer to it later.
As we know, these gems are used to power the Infinity Gauntlet:
As per the Marvel Movies Wiki:
The Gauntlet grants the bearer infinite power over reality through the
use of the six Infinity Stones (Mind, Reality, Soul, Time, Power, and
Space) embedded in it.
So now the background is out of the way, the crux of your question can be answered. If two of the Stones are discovered in Thor 2, and it becomes obvious they will be a major part of the plot to come in the rest of the Thor films, what were we shown in the first film?
Well here go my two theories. First, the Comic Book Movie website discussed this, postulating:
The gauntlet itself appeared in Thor, as is plainly seen in the image
above, in Odin's treasure vault. It would appear at first glance, that
the gauntlet contains the Infinity stones already. So, surely the
gauntlet should be capable of functioning. Well, perhaps there is a
fundamental reason why it is unable to.
The gems are indeed in the gauntlet, there's no doubt of that. Again,
why is it then, Thanos hasn't just taken the gauntlet already? Well,
what if the gems require some sort of power source in order to
function. Perhaps each gem requires a particular stimulant in order to
get itself working. These stimulants are the Infinity Stones. So far,
we have seen two Infinity Stones in the MCU, with a possibility of a
third and fourth. These Infinity Stones are the Tesseract.
The aether in Thor The Dark World, is a fluid, yet it is still classed
as an Infinity Stone. The Tesseract is also called an Infinity Stone
in the movie. It would seem that these Infinity Stones are some sort
of power source for the Infinity Gems contained within the gauntlet.
You can read more of the theory at their page. It's a clever idea and I love the effort the site has put in to trying to make it work. It seems very unlikely, but it is still technically on the cards right now.
The second and more likely theory is that it was simply a cool thing to show in the first movie, before they really knew what they wanted to do with the series. Perhaps the developers hadn't come up with the entire idea of the infinity gems and their relevance in the Marvel Cinematic Universe.
It's worth noting that before the film, as it customary, they took a bunch of their props and the cast to Comic Con in 2010. The Infinity Gauntlet was hugely popular - even now, a quick google search will reveal how many fan bases were already excited about it.
I think it's highly plausible that Marvel took this strong fan reaction and set about integrating the Infinity Gauntlet storyline, complete with Thanos, into their intentions for the Marvel Cinematic Universe. Don't forget, in the comics, it takes more than the Avengers to take on Thanos. It really does unite the whole Marvel universe.
Finally, although not asked in your question, this site has got a wonderfully complicated and detailed breakdown of a variety of theories as to where the other stones/gems are.
So, I'm aware I've only offered a couple of theories to your question, but hopefully they'll be of some use!