Warning: SPOILERS for Avengers: Infinity War are ahead!
The Infinity Stones were brought into play in the Marvel Cinematic Universe at the end of Thor, when Nick Fury showed Erik Selvig the Tesseract, a.k.a. the Space Stone. Three years later, Thor: The Dark World introduced the Aether, a.k.a. the Reality Stone, and it was revealed in the mid-credits scene the true importance of these powerful artifacts. We even learned in Thor: Ragnarok that the Infinity Gauntlet kept in Odin's treasure room was fake, but one Marvel fan has come up with an intriguing theory that the reason the All-Father wanted to conquer the Nine Realms was so he could obtain the six Infinity Stones.
As the theory posits, Odin learned about the Infinity Stones from his father Bor, who snatched the Reality Stone from the Dark Elves. When Odin rose to power, he first discovered the Space Stone and used it to transport his armies across the universe. He then went to Nivadellir and commissioned the creation of a device that would allow him to control all the Infinity Stones at once, and the test version is the one that was on display in his vault. However, when Odin learned he would need to sacrifice what he loved most, his daughter Hela, in order to get the Soul Stone, he realized he couldn't do it, and this is what triggered his shift from conqueror to benevolent ruler.
Hela, on the other hand, didn't understand why Odin would make such a decision, which led to them fighting and Odin ultimately imprisoning Hela, possibly by using the Space Stone. From there, Odin hid the Space Stone on Midgard, a.k.a. Earth, and he probably knew where the Reality Stone was since his father had once possessed it. Having left the Soul Stone where it rested, it's unclear if Odin knew where the remaining three Infinity Stones were, but regardless, he decided to keep that test version of the Infinity Gauntlet around as a reminder of all he'd lost and done. Later, when Thanos traveled to Nidavellir, the dwarves used their knowledge of the test Gauntlet they'd made for Odin to build the Mad Titan the real Infinity Gauntlet.
This Reddit theory is certainly interesting and fits nicely with what we've learned about this particular mythology in the MCU. The only major issue I have with it is that Hela's reaction to seeing the Space Stone in Thor: Ragnarok doesn't line up with someone who knew what just what the Stones were capable of when brought together. Granted, Hela was shown being able to teleport herself, but even so, you'd think she'd have more to say than "That's not bad." One could also argue that Odin and Hela were powerful enough that they wouldn't have needed the Infinity Stones to conquer the universe, but still, if Odin had collected all six, he would have become a true god, so that definitely would have sealed the deal.