The Avengers are a group of heroes the make up Marvel's greatest champions. Also known as 'Earth's Mightiest Heroes' the Avengers assemble in order to protect the world from threats that they couldn't normally face alone. In the world of Marvel, the Avengers are recognition as a peacekeeping initiative, as such they have clearance from most government which allows them to combat different threats on national, global, universal, and even multiversal levels. The first lineup of the Avengers was made up by the heroes the Hulk, Thor, Iron Man, Ant-Man, and the Wasp and over the years their members have changed. The current lineup of the Avengers consists of the heroes Black Panther, Captain America, Impossible City, Iron Man, the Scarlet Witch, Storm, and Vision and is being lead by Captain Marvel.
In the real world, the Avengers where created in 1963 by Stan Lee. At the time, Marvel was creating Daredevil #1 and there was a hold-up in the production. During this time in Marvel's history, they would have to book printing time ahead of when they planed to make the comics, so with the delay they needed to come up with something or they'd still be chared for the printing time with nothing to show for it. So, Stan Lee created the Avengers, a group of already established heros that they could easily make a story about.
Interesting fact: The Avengers share a name with a popular british television series know as The Avengers. Because of the shared name Avengers comics where renamed to Avengers Assemble in the UK, and comic adadptations of the Avengers tv show were renamed to Steed and Mrs. Peel.
Interesting fact #2: The same thing happened again when Marvel made the New Avengers, which just so happened to share a name with a revival of The Avengers tv show, The New Avengers.