Thunderbolts #133

In Wolverine: Mr X Logan had his latest bout against telepathic fighter/killer Mister X. At the end Norman Osborn (in his last app before this) offered X a job in the Thunderbolts. In #132 the team went on a mission to extract Mr X from Madripoor in such a way that it appeared he died, to keep his involvement with the team covert. But Mr X isn't in this issue.

Headsman isn't here either.

Scourge is far from the 1st person to use that super-id - it's difficult to count because the original was a group sharing the role. (The Marvel Chronology Project calls this 1 IX.) In #136 we'll discover that this 1 was previously Nuke, a psychotic super-soldier who painted his face with the US flag, and this is what he's done over the new face Osborn gave him - now hidden by his mask.
In #136 we also see that he's a cyborg, as shown in his last app in Wolverine: Origins #1-5. He ended up in a very bad way under the care of Emma Frost, and NO probably got access to him via that Cabal member. The new face is a covering over his cyborg head.

Nick Fury has been in hiding and operating behind the scenes since his Secret War. Since Secret Invasion he's been busy with another private war with Hydra in Secret Warriors. He's only surfaced once during that time in W:O#32-35 to help Logan against his son the Dark Avenger Daken.

The series is moving towards the revelation that this Black Widow isn't Yelena Belova but the Avenger 'Tasha Romanova.

NO does a lot before he's back for the next issue - including the Dark Avengers/Uncanny X-Men: Utopia and Exodus stuff, DAv#5-12 and New Avengers #54-60.
Meanwhile his Thunderbolts go on other missions. Black Widow leads Ant-Man, Ghost and Paladin (and the here-absent Headsman) to 'help' in Spider-Woman (2009) #5-6 where she's hunting Skrulls for the SWORD agency. Scourge (maybe) does his own thing in a tale in Dark Reign: Made Men. (The absent Mister X doesn't do anything.)
And Songbird doesn't go anywhere until then either.