The Thunderbolts are basically Marvel's version of the Suicide Squad, and though it could be argued the company already have their bases covered when it comes to 'loveable rogue ensemble defies the odds' in Guardians of the Galaxy, none of that group are out and out villains. There's an important distinction to make in this case, and while the MCU is currently a few villains short of assembling an evil team of its own, the logistics of actually doing so need not be so difficult.
To be clear, there is a reason why DC made Suicide Squad, and that's because it has a genius premise. The idea of a Dirty Dozen-style team up with superheroes has worked for years on the page, and though Marvel themselves were late to the game with the Thunderbolts, there's no reason to say they couldn't make it work on the big screen.
Bring together villains like Taskmaster, Venom, Punisher and Vulture with a hero to keep them on the straight and narrow (potentially Bucky Barnes), and you have the potential for a truly interesting story. Factor in the crossover potential as well, with the Avengers having to call upon the team in a time of crisis, and you have the basis for some truly brilliant interactions between Earth's Mightiest Heroes and their evil counterparts.
The only question left, it seems, would be who gets on the roster?