According to USA Today, Don Cheadle is set to reprise his role as James "Rhodey" Rhodes, a.k.a. War Machine, in Joss Whedon's Avengers: Age of Ultron. In an interview with the actor, the site simply states that he'll have "a part to film in the next Avengers movie."
This is the first time I've heard anything about Rhodey being in the film, but It makes sense to me that he would be! He was eventually going to end up in one of the Avengers films, it might as well be Age of Ultron! The question is... will he suit up as War Machine or Iron Patriot?