Yes hes the bad guy, basically his army can wipe out entire worlds (like the borg) though in the comic a lot of it is about timetravel - which is why the comic is so pointless as events happen and its like OMFG WTF and then they dont , so it all boils down to two people chatting to each other for the whole comic....
Though I hear that they are not making it anyway close to the comic, so it might actually be good.
id be surprised if this sets up Avengers 3 though, as Ultron is man made, where as Thanos isnt and is part of the galactic story arc - which is probably why they made GOTG.