They are:

Gameboy:
SaGa: The Trials of the Demon Tower
SaGa 2
SaGa 3

SNES:
Romancing SaGa
Romancing SaGa 2
Romancing SaGa 3

PSX:
SaGa Frontier
SaGa Frontier 2

PS2:
Unlimited SaGa
Minstrel Song

Of those, I've played 1-3, SaGa Frontier and Saga Frontier 2. I can probably recognize SaGa 1 as the best of the bunch simply because of the concepts presented in the game. SaGa 2 seems to be the GB favorite, though.

SaGa Frontier 1 and 2 are both above average games. I have not finished Frontier 2, but Frontier 1 is a lot of fun provided you don't try to blaze through all 7 stories at a single interest point in the game.

Unlimited SaGa, although I've not played it, seems to be the most controversial game in the entire series. I'd definitely steer clear of that game until you have a general concept of what the series is about from the previous entries.