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If I had to pick one I have to go with Metal Gear Solid.  I have liked every numbered entry in the series more than the last, with MGS 4 being my favorite MGS game so far.  The story was one of the best I've ever played in a video game and once I started playing it hooked me and its one of those rare games I was not able to stop playing.  To be honest I don't see them topping 4 for me just because I like Snake way more than Big Boss, but that could change as I still have to completely beat Peace Walker, but Ill make sure I do before 5 comes out.  So anyway what game series do you think has been able to continuously improve as generations passed?

Note: Can't pick games that have only been around for one generation like Uncharted.