http://www.youtube.com/watch?v=YOy4VUGMX-Y&feature=player_embedded#at=89

A bystander was at Times Square, New York on the 23rd and found himself on set for Captain America: The First Avenger. Armed with his Nikon, he shot a scene between Chris Evans and Samuel L. Jackson. So yes, there is a scene with Captain America and Nick Fury.

Captain America: The First Avenger hits theaters July 22, 2011.