You'll see, specifically, the origin of what happened to his eye. You'll find out that he does have a family, that's referenced. You don't see them, but they are referenced in another way. There are things we talk about in his backstory that haven't been talked about before -- where he's from, what he's done. There are times when he actually, humanly reacts to things with fear and awe, instead of the stone face that he normally has, before he learns to control his emotions in another way.
We don't talk about none of his war experiences. We talk about him being in the war, leaving the war, being a spy and some of the things he did when he was a spy that got him to this particular place. So, we get more of a backstory, and we get more of what turns him into this person that you originally meet in Iron Man.
(I would point out that Fury's mother, or at her least address, was mentioned in The Winter Soldier--TT)
