This list includes all the Avengers-related movies (a.k.a. the Marvel Cinematic Universe), all of the stand-alone movies from other studios since 1998, and some of the films that existed before that period (except for some really obscure productions as the 1944 Captain America serial).
You have to have seen at least one full episode of a Marvel live-action TV show to check it off on your list.
To prevent the list from being too long, it does not include the many animated TV shows and direct-to-video films, nor does it include movies that Marvel tangentially owns, such as the Men in Black series.
This list is accurate as of December 2013.
(And if you've seen Howard the Duck, I feel and share your pain.)