Avengers Infinity War is in theaters now and is already crushing records (and souls). While you wait for Avengers 4 to come out, now is a perfect time to catch up on Thanos in the comics to see just how accurate the movie is. But before we can get into Thanos, we first have to give a brief overview of Marvel Cosmic. We've touched on Marvel Cosmic a bit with Inhumans and when we talked Alex Summers. But Thanos throws us right in the middle of it. Jim Starlin really helped solidify the cosmic side of Marvel and so we give a condensed rundown of the Celestials, Eternals, Adam Warlock and more. Trust us, we will revisit all of this more in later episodes in more details.
We then jump forward a bit to go through Jason Aaron's Thanos Rising which while it's more recent (2013), it gives a pretty great (and dark) view of Thanos' origins. Then its back to the early 90's and Thanos collecting the Infinity Stones (or rather, Soul gems as they were called) in Thanos Quest, the Infinity Gauntlet crossover and more.
We end with the recent Thanos solo book that if you're not reading it...you're missing out on greatness.
Reading List (As usually with Marvel, most of these are on Marvel Unlimited)

First Appearance

Iron Man #55
Captain Marvel #25 - 32
Avengers #125
Captain #33 - 34

Thanos Returns

Strange Tales 178 - 181
Warlock 9 - 15
Marvel Team-up 55
Avengers Annual #7
Marvel Two-in-One Annual #2

Silver Surfer

#34 - #38

Thanos Quest

Thanos collecting the Soul Gems (what the Infinity Stones used to be called)

Infinity Gauntlet #1 - 6
Infinity War
Secret Defenders 11-14
Cosmic Powers
The Thanos Imperative
Thanos Rising (Jason Aaron)
Infinity #1 - 6

#1 - First appearance of The Black Order

New Avengers

Vol 3 #23

Secret Wars
Ultimates

Volume 1
Volume 2

Thanos

Volume 1 - Thanos Returns
Volume 2 - The God Quarry
#13 - 18 - Thanos Wins