While we know that Samuel L. Jackson has negotiated himself a good deal with a number of cameos for various Marvel Studios properties, it wasn't a hundred percent confirmed that we'd see him in either Thor or Captain America. Fans know that the history of Nick Fury is one that does take him back quite a few decades and we saw hints of that in Iron Man 2 as well that they'll be including it in some form. On Jimmy Fallon Live last night, Jackson confirmed that he's in for a pair of one-day shoots for both Thor and Captain America as Nick Fury, though he doesn't know if they're the end-sequence cameos that fans have come to squee over with the previous movies or something a bit more involved. Of note, he talks about how he's also starting to audition with a number of actresses who will play "his sidekick" in the Avengers film which is causing plenty of speculation that it'll be The Wasp in some form, though in the comics Fury has had a lot of operatives over the years that he's worked with as well.
Update: Once Jackson spoke, the shortlist of names that have come up for the actresses for the undisclosed role has appeared with The Hollywood Reporter leading the charge. In an effort to combat the "sausage party" as Rob Worley once termed it, Morena Baccarin, Jessica Lucas, Cobie Smulders and Mary Elizabeth Winstead are all being bandied about.
Check the video below for the main man himself speaking about it all.