I actually think that Return is the stronger film out of the two, contrary to what a lot of people believe.
Age of Ultron, for me, had everything I wanted in an Avengers film. New characters, big stakes, character development for all of the established ones (the dream sequences in particular help shape Captain America's character into a multi-layered and complex character, despite his seemingly simple viewpoints and motivations), and tons of interactions between characters from other movies, my personal Whedon favorite.
The first one did what it could for the first "get together" movie, but right out of the gate, Age of Ultron just assumes you saw the first movie and puts on a genuinely entertaining and complex movie. It's not perfect, but I blame that on the running time - an extended edition would put most complaints to rest, I feel.
Marvel's movies are less of just single blockbusters and more like one very expensive British TV show. Each season is about six episodes long, but they're all two hours each and they culminate in a grand season finale.