I'm only going with series that have 4 or more games. There's too many 3-game series to list.

Super Mario Bros. - I've played all the Mario platform games with the exception of the new ones for 3DS and Wii U, but I will play them eventually.
Final Fantasy - I think I've played every game with FF in the title except cell phone games and DoC (which I'm sure I can be forgiven for).
Donkey Kong - Again, these are just the platformers (not jungle beat or whatever), but I've played them all from the original DK & DKJ to DKC Returns for Wii.
Kingdom Hearts - Technically I've played them all but not all versions of all of them (you know RE: Chain of Memories etc.), but I think it counts.
God of War - Played them all, including the PSP games, with the exception of the new one but give me time.


As much as I love Zelda, Metriod, and Castlevania, there's just too many of those game and they span too many different systems and genres for me to have played them all. Though with Zelda all I need is Oracle of Seasons and Four Swords (not counting the crappy ones not made by Nintendo).