I'm a big fan of the MCU, so naturally my opinion might be a bit biased.
But yes do it.
For the record:
Primary material (Phase 1) : Iron Man, The Incredible Hulk, Iron Man 2, Thor, Captain America: The First Avenger, The Avengers.
Primary material (Phase 2) : Iron Man 3, Thor: The Dark World, Captain America: The Winter Soldier, Guardians of the Galaxy, Avengers: Age of Ultron, Ant-Man
Primary material (Phase 3) : Captain America: Civil War
Secondary material (ABC and Netflix shows) : Agents of S.H.I.E.L.D., Agent Carter, Daredevil, Jessica Jones (note that the latter two, which are Netflix shows, are considerably darker)
Supplementary material (Other, basically) : The Marvel One-Shot features (the original Agent Carter short, A Funny Thing Happened on the Way to Thor's Hammer, The Consultant, Item 47, and All Hail the King), the WHIH news videos (a series covering Ant-Man, and one covering Civil War. Basically they're in-universe news broadcasts).
And in case you want a timeline in which to watch the primary and secondary materials (not including supplementary for simplicity reasons) :
Iron Man>The Incredible Hulk>Iron Man 2>Thor>Captain America: The First Avenger>(You can watch Agent Carter here if you like, but you can also see it more down the line if you wish, as it takes place after the first Cap film)>The Avengers>Iron Man 3>Agents of SHIELD season one episodes 1-7>Thor: The Dark World>Agents of SHIELD season one episodes 8-16>Captain America: The Winter Soldier>Agents of SHIELD season one episodes 17-22>Guardians of the Galaxy>Daredevil season one>Agents of SHIELD season two episodes 1-19>Avengers Age of Ultron>Agents of SHIELD season two episodes 20-22>Ant-Man>Agents of SHIELD season three episodes 1-10>Jessica Jones season one>Daredevil season two>Agents of SHIELD season three episodes 11-19>Captain America: Civil War>Agents of SHIELD season three episodes 20-22.
ALTERNATIVELY, if you want to watch everything in
in-universe chronological order, check out
this timeline.
Everything clocks in at a total of about 120 hours, but it's
incredibly worth it, especially since Feige basically said they're not gonna try to dumb things down for newcomers anymore, so to speak.
It's a ton of stuff, but it's really good. Even the weaker movies/episodes are worth it in their own right for the connections they make.
If you want a look at the upcoming stuff...
Luke Cage series on Netflix later this September.
Doctor Strange is in theaters this November.
Agents of SHIELD season four sometime this fall.
Guardians of the Galaxy 2 in May 2017.
Spider-Man Homecoming in July 2017.
Thor Ragnarok in November 2017.
Jessica Jones season two, Iron Fist season one, and Defenders season one estimated to be released for Netflix in 2017.
Cloak and Dagger is confirmed to be in the works as a Freeform series, estimated for "sometime in 2017."
Black Panther in theaters in February 2018.
Avengers Infinity War Part One in theaters May 2018.
Ant-Man and the Wasp in July 2018.
Captain Marvel in March 2019.
Avengers Infinity War Part Two in May 2019.
Punisher Netflix series is in the works with no estimated release date yet.
*EDIT*: Almost forgot. Damage Control also has a put pilot order. So at the very least, they're legally obliged to air the pilot episode if nothing else.
Of note, Infinity War Parts One and Two are getting a retitle soon to avoid confusion: they're two separate-but-interconnecting films, as opposed to one film split in half (some are predicting they'll become Avengers Infinity Gauntlet and Avengers Infinity War).
As well, there used to be an Inhumans film appearing in Phase Three right after Infinity War, but it's been postponed further, but still in the works. It'll likely be a Phase Four film, alongside the confirmed Guardians of the Galaxy Volume Three and the Black Widow solo film that they've "committed to."
Here I am just hoping Phase Four has a Scarlet Witch and Vision film.
I didn't know how much I wanted this until now.