Marvel One-Shots are a series of in-universe short films that were attached to a feature film's Blu-ray release, starting with Thor. The Blu-ray releases that include a Marvel One-Shot are Thor, Captain America: The First Avenger, The Avengers, Iron Man 3, and Thor: The Dark World.
Marvel One-Shots are a series of direct-to-video short films produced by Marvel Studios, set within the Marvel Cinematic Universe.
Marvel one shot mini features
Marvel One-Shots
Official List