Someone recently asked on the Bendis board where Ultimate War fits into Ultimate continuity, and Mark Millar himself chimed in...
Mark Millar said:Actually, volume one was originally twelve issues and planned, believe it or not, to run from Jan-Dec. This introduced everybody and set them up for their first adventure. This takes place before any of their appearances anywhere. Dec is when Ultimate War started. Ultimate War takes place between Ultimates Vol 1 and 2 and Ultimate X-Men 4 and 5 and was written vaguely enough that the characterization (Cap going out with Jan, etc) wouldn 't confuse anyone.
All the current Ultimates appearances take place between volumes one and two. Anything you see will look different because we're changing looks, situations, etc, for book two and this is planned for a Dec launch. I'm in NYC next week and this will hopefully be confirmed there.