Doubtless, you've heard of the comic book superhero team, The Avengers, "Earth's Mightiest Heroes." Sadly, in reality, none of these individuals have ever truly met, and their actual stories have yet to be revealed. For now, I will only tell those of the most well known.
Captain America was indeed created through an experimental super-solider serum, although this was composed of a unique mixture of steroids and a regenerating agent that constantly recreated the serum within his bloodstream. The serum enhanced his body, but left his mind damaged, leaving him little more than a killing machine.
He was the ideal weapon of the US Military, secretly responsible for a mass murder in Germany that lead to the Nazis surrendering and Adolf Hitler's suicide. However, the Captain himself was killed, shot like a rabid dog by the US government, out of fear that one day he would be too powerful to control. The comic books are mere propaganda that exists well into the modern day, as a preservation of the Captain's image as the ultimate patriot.
Iron Man, AKA Tony Stark, a brilliant inventor, was portrayed as a playboy who flaunted himself. In truth, he was an extremely introverted individual whose sole company was his assistant Pepper Potts. He built weapons and sold them to the U.S. military due to feeling that he himself could do nothing for his country. His alcoholism, a fact that was left in his comic book portrayal, brought about the end of his life, via liver poisoning. His last invention, a suit of powered armor, was left unfinished as he collapsed while working on it. This is why, in the comics, there are so many versions of Iron Man's armor, as a final design was never produced.
Thor was cast from his home in Asgard, but his powers were never returned, for his deeds went beyond those of merely arrogant behavior. The entire realm of Jotunhiem was destroyed by the Asgardian prince, it's people left as broken bodies, due to Thor's insane bloodlust and paranoia. His father Odin was so horrified by the carnage that his son left in his wake that banishment was the only punishment that he could deal without lowering himself to Thor's level. The deprivation of his powers eventually lead to a more clear mind, and Thor felt nothing but shame and remorse for his actions. During a thunderstorm, Thor lept to his death, and his soul was sent to sleep in Hell for all eternity. His hammer, Mjolnir, still remains within the Asgardian palace as a symbol of shame.
While he did indeed suffer the wrath of an abusive father, Gamma radiation had nothing to do with the Hulk's creation. Instead, Bruce Banner was born a malformed child, growing to a large size, but retaining a brilliant mind that sadly was never put to good use. He accidentally killed a woman after pushing her out of the way of a speeding vehicle, accidentally snapping her neck.
The authorities hunted and hounded him, until Bruce finally decided to retaliate, fighting and fighting until his body gave out. He was killed by an overzealous soldier named Emil Blonsky, who shot him in the heart. Later, proof was revealed that Banner was only trying to save the woman he killed. However, Blonsky did not regret killing him, stating that it was nothing more than a job, albeit one he enjoyed. This statement lead to many dubbing Blonsky "The Abomination," who was portrayed in the comics as a far more monstrous creature than the Hulk himself.
Natalia Romanoff, known to her enemies as the Black Widow, was raised during the Cold War, fighting and running almost all her life, so it only made sense that she became an assassin. However, the torment of constantly fighting left her damaged, and she became a merciless killing machine. She continued until she was given a contract to murder an innocent child. Somehow, a change of heart overtook the cold-blooded assassin, and instead she took a knife and butchered her employer, and in her despair, turned the knife on herself, tired of spilling blood. In the comic books, her psychopathic tendencies are never shown, as this was hidden from all records after her death.
These individuals are linked by death, dying either by suicide, or the authorities. That is why, in their idealized, brightened comic book alter egos they unite as a team. The comics themselves are a way of giving these sad individuals a second chance in a reality that may or may not exist.