Project P.E.G.A.S.U.S.

Project P.E.G.A.S.U.S. is a subterranean research facility.

Iron Man 2
Project P.E.G.A.S.U.S. is alluded to when Tony Stark opens a wooden crate marked "Project Pegasus" in preparation to synthesize a new element.

Fury's Big Week
The World Security Council mentions that funding is being redirected from S.H.I.E.L.D. to a new operation, codenamed Project P.E.G.A.S.U.S., in the aims of analyzing the Tesseract.

The Avengers
The subterranean Project P.E.G.A.S.U.S. facility is where the Tesseract is being studied by Erik Selvig. It proceeds to collapse when a portal opened by the Cube from which Loki Laufeyson came from implodes.

Trivia

 * In the comics, P.E.G.A.S.U.S. stands for Potential Energy Group/Alternate Sources/United States.