Fury called her Agent Romanov in the diner, I made a note of it when watching the movie earlier today because that scene seemed so important to building the future Avengers stuff.
As to Ironman and his sense of vulnerability. I haven't read the comics, nor know much about them.
But so far as the movies go as soon as he suits up he seems completely invincible. Mostly because he gets completely beaten and hit with crap and we never see him get bruised or bloody afterwards. And everything seems so easy.
And of course the fact that, at least in the 2nd movie, no one dies except Whiplash and a couple of guards off-screen.
Which brings up something I was thinking while leaving the theater. A super hero team in a comic or animated is one thing, and due to the format a bit of corniness and camp is expected. But in the Marvel movie universe that stuff is, at least so far, kept to a minimum. When we get to the Avengers movie it is going to be really tough to have anyone keep up with Thor, Hulk and Ironman. Those guys are heavy hitters, whereas Cap, Hawkeye, Wasp, Antman, and whoever else are much more frail.
It is going to be a tough thing to do to make a movie that makes all the characters useful without feeling ridiculously forced.
I still remember a line from Roger Ebert's review of the first X-Men movie that went something like, "You have people who can control the weather, fly, move things with their minds, control metal and stop bullets, and you want me to believe that a man with switch-blades that come out of his hands is in their same league?"