Lady Death was the very reason Thanos had the Infinity Gauntlet in the first place. Having given Thanos the task of wiping out half of the sentient life in the universe in order to bring about a balance, Thanos used the Infinity Gauntlet to do exactly that in order to win death's affections (death being a concept who is often depicted in female form in the Marvel universe - and someone who Thanos is obsessed with). Having the embodiment of Death as a character in the Marvel Cinematic Universe might be a step too far for some people, but it would undoubtedly be cool. Indeed, the character was hinted at in the post-credits scene of the first Avengers movie, when Thanos first appeared, as The Other said that to challenge the heroes of Earth would be "to court death". Non-comic fans would have heard that as "challenge the heroes of Earth and you might die", but those clued up would have heard it as "you could win Death's affections". Thanos is powerful enough to begin with. He's going to have the Infinity Gauntlet, an accomplice (likely to be someone like the Other or Loki in place of Mephisto from the comics) and could have Death by his side. This could be some on-screen battle, it really could! Seriously though, how awesome would it be to have one of the most powerful and... well... deadly entities in the universe coming face to face with the likes of Tony Stark and Thor? The prospect is extremely exciting.
