Obviously, if you don't want to know a pretty major plot development, stop reading and definitely don't watch the video. Or if you do, watch it on mute.
So Nick Fury dies, apparently? I guess it's possible that Fury could have gone on medical leave, and Cap is saying "Fury's last words..." as in "...before he went to the hospital for his physical therapy class," but people rarely break out the "His last words..." unless they mean "...before he croaked." Which is a hell of a thing to just casually reveal in a random TV spot.
But I wouldn't be too worried about Fury's demise, because seemingly dying is something he does in the comics a lot. They've generally been elaborate ruses (often using robots, although that's probably not the case here) so he could investigate something shady going on in SHIELD — something like whatever the hell Robert Redford's evil SHIELD commander is probably doing. In fact, I'd feel safe betting money on it. But we'll see.