I've watched the whole Fate series excluding the TV anime of Unlimited Blade Works(waiting for all the Blu-ray's to release). The best way to make sense of the story is to start with Fate/Stay Night. Unlimited Blade Works is an alternate route of F/SN that has goes into the answers that weren't explained in F/SN. I recommend not to watch the movie version(Got damn DEEN), but the TV anime version. After the TV version of UBW, watch Fate/Zero. It's a prequel for a reason. Heaven's Feel should be watched after. I realized I'm telling you to watch in release order. lol
Order:
F/SN
F/SN:UBW(TV)
F/Z
Fate/Kaleid is a spin-off in an alternate universe using the Fate characters. There are new characters for the story and old characters from Fate, but with altered backgrounds from their original source.
Fate/Kaleid Illya is the 1st season.
2wei(2) is the 2nd season.
2wei Herz is the continuation.
3rei(3) is the 3rd season.
I highly recommend you watch Kara no Kyoukai. I also recommend Tsukihime(terrible adaption) for the story and characters. They are two other works by Kinoko Nasu(Type-Moon franchise). Fate, Kara no Kyoukai, and Tsukihime are in a universe known as the Nasuverse. After watching those and getting familiar with the Nasuverse, watch Carnival Phantasm. It has all the characters from the series mentioned above all in one anime. It's a great parody and comedy that has characters from Fate and Tsukihime.