Trivia: Stan Lee makes his customary appearance when Rocket Raccoon is sweeping the plaza for likely targets - he is seen chatting up a young lady. (00:16:00)
Continuity mistake: When Quill and Gamora first meet and get into a fight, Gamora grabs the Orb Quill is carrying and runs. Quill throws a sort of laser-based "lasso device" that snares her legs and causes her to fall. She pulls it off, and immediately in the next shot, it's vanished from the ground between cuts. It also had mechanical components, so even if the laser vanished, the mechanical pieces should still be on the ground.
Chosen answer: Each realm is actually more of a dimension than a single world. So Xandar would be part of Midgard. The orb is the housing for one of the Infinity Gems. The Tesseract is also an Infinity Gem. The stone in Loki's scepter and the Aether from Thor: The Dark world are two others. All 6 gems can be combined on the Infinity Gauntlet which enables the user to do whatever he wishes just by thinking about it. Wielded by Thanos, among others, in the comics.
Grumpy Scot