well, Thanos was already introduced in Avengers 1. His seeking the Infinity gems has been tied with that, Thor/Loki, and now GoG. He and the GotG have long been tied with the Avengers, so I think that has been the long game.
...And I was with you for a while. I thought this Cosmic stuff was just bad for a film--it was always so complex and disorienting in the comics, and would take many issues of various franchises to work them out. I always assumed a disaster like Spiderman 3 would happen...then, when it did (way too many villains, several decades of multiple character development mashed into ~2 hours of story), it was the expected disaster.
But, I think, Marvel is playing the long game here. We've already got several film franchises: Avengers, Iron Man, Thor, Hulk?, and now GoTG, aiming toward the same overarching end game. They are playing the comic model out on film, and while it won't be the same type of story and will invariably piss off the legions of comic fans to some degree, I think it is coalescing into the best type of franchise that one can hope for this material.