No real order and I usually enjoy most games in a series, so I'll clump them together:
Thief
The Legacy of Kain
Neverwinter Nights
Army of Two
Fallout
Warhammer 40,000 Dawn of War
Sins of a Solar Empire
Need for Speed
Hunter: the Reckoning
The Elder Scrolls
Borderlands
Resident Evil (0 - Code: Veronica on Gamecube. Had to specify there)
Command & Conquer
Prince of Persia (Sands of Time Trilogy)
In fact, all but Borderlands and Sins is a pretty full series
Thief
The Legacy of Kain
Neverwinter Nights
Army of Two
Fallout
Warhammer 40,000 Dawn of War
Sins of a Solar Empire
Need for Speed
Hunter: the Reckoning
The Elder Scrolls
Borderlands
Resident Evil (0 - Code: Veronica on Gamecube. Had to specify there)
Command & Conquer
Prince of Persia (Sands of Time Trilogy)
In fact, all but Borderlands and Sins is a pretty full series