While AMC kicked things off with Ultimate Marvel Marathon (in which all five recent Marvel films are screened leading up to a midnight presentation of The Avengers), other theater chains are offering similar deals. Tickets for the AMC Marathon are sold out at some locations. You'll want to check AMC's Marvel Marathon page to find the nearest theater to you and see if they still have tickets available.
If not, there's always Cinemark's Marvel Avengers Movie Marathon, Cinebarre's Marvel Avengers Movie Marathon, Regal's Marvel Marathon, Kerasotes' The Avengers Anthology, Regency Avengers Marathon and the Carmike Marvel Maniac Super Hero's Movie Marathon. Theaters will be running variation of 2D and 3D screenings during the marathon.
The films scheduled to screen are Iron Man, The Incredible Hulk (Edward Norton version), Iron Man 2, Thor and Captain America: The First Avenger, capped with the midnight screening of Avengers, although you'll want to check with your local theater, i.e. Regal isn't showing The Incredible Hulk.
Be sure to get your tickets. I'll be at the AMC Marathon next Thursday, live-tweeting in between films and recapping the event next Friday.
Do you have your tickets? Will you try to make it through from start to finish?