Well, Thor blinking his eyes and people disappearing doesn't seem to happen--even in his own movies.
As for the recent films...
Where were Thor and Cap during Iron Man 3? Well, Thor was in Asgard. Cap, we'll say was at SHIELD HQ.
So why didn't Cap get off his ass and help Tony? Well, for one, Tony was dead according to most people. So Cap wouldn't necessarily be involved until the President was kidnapped. But it's not like they had much information to go on. Heck, it was quite possible that the President was dead after Air Force 1 blew up. I'm sure everything was pretty confused.
Where were Iron Man and Cap during Thor 2? The United States.
Keep in mind that the action in Thor 2 took place in London. Let's assume, for a moment, that Iron Man was in New York. Well, nobody called him, so he wouldn't even think of showing up until he saw the bad guys on the TV. Now he's in New York, he puts on his armor and takes off. If you time the movie, the last bit takes about 20 minutes. Assuming none of the action takes place simultaneously, that means Iron Man has to fly about 10,500 MPH to show up in time for everything to be over. We don't really know the top speed of Iron Man, but I don't think he could manage New York to London in 10 minutes in order to make any kind of difference.
Where were Thor and Iron Man during Cap 2? Well, Thor was in London and Iron Man was in Malibu and we have the same time problem as in Thor 2.
Keep in mind that the Avengers went their own ways after New York. Tony doesn't play well with others--yeah, he's really gonna call Cap and Thor for help. It's just not in his nature. Cap isn't going to call Tony for help because he can't trust him--remember "Trust No One?" Remember that Stark provided the repulsors for the new helicarriers? Tony could be in on it. And I'm not sure that any of them know that Thor is back on Earth.
Where was Spiderman during the Chitauri Invasion? He was fighting Chitauri over on the west side of New York. But since he wasn't wired into the Avengers radio network, he didn't know they were there.