The Reality Stone (a.k.a. the Aether) was given to The Collector in Thor: The Dark World, although since his museum was destroyed in Guardians of the Galaxy, it’s unclear if he still has it.
The Power Stone (a.k.a. the Orb) is under the protection of the Nova Corps.
The Space Stone (a.k.a. the Tesseract) is locked up in Asgard’s vault, although with Thor: Ragnarok coming up in November, who knows if it will remain safe there.
Finally, both the Mind Stone and Time Stone (a.k.a. the Eye of Agamotto) both rest on Earth, with the former powering The Vision and the latter resting in Kamar-Taj.