Hmmm, let's see. I own all of the main Mario games, all Metroid games, all Zelda games (with the exception of the GameBoy games). I also own all three Thief games, both Gears of War, all three Timesplitter games, all Twisted Metal games, all X-Com games, and both Dungeon Keeprs.

Honorable mentions are Silent Hill (I own every one but the first one) and Might and Magic (I beat every one except for I and VIII).

EDIT:  I have all the Half-Life games, Mario Kart games, Halo games, and Super Smash Bros games.

Tekken
Tekken 2
Tekken 3
Tekken Tag Tournament
Tekken 4
Tekken 5 (ps2)
Tekken 5: DR (psp)
Tekken 5: DR Online (Ps3/psn)

I don't have Tekken Advance but i don't concider it part of the series since it's a dumbed down version of tekken 3, and i never had a gameboy advance so no reason to get the game in either case.

Command & Conquer  (Ps1)
Command & Conquer (Pc)
Command & Conquer (Psn/psp)
Command & Conquer: Red Alert (ps1)
Command & Conquer: Red Alert (Pc)
Command & Conquer: Red Alert (Psn/psp)
Command & Conquer: Red Alert: Retaliation (Psn/psp)
Command & Conquer: Tiberian Sun
Command & Conquer: Tiberian Sun: Firestorm
Command & Conquer: Red Alert 2
Command & Conquer: Red Alert 2: Yuris Revenge
Command & Conquer: Renegade
Command & Conquer: Generals
Command & Conquer: Generals: Zero Hour
Command & Conquer 3: Tiberium Wars
Command & Conquer 3: Tiberium Wars: Kanes Wrath
Command & Conquer: Red Alert 3

I don't have counterstrike or aftermath on cd. (they are in retaliation.. more or less soh..)

Half Life
Half Life: Blue Shift
Half Life: Opposing Force
Half Life 2
Half Life 2: Episode 1
Half Life 2: Episode 2

Ultimate Doom (ultimate version of doom 1)
Doom 2
Master Levels of Doom
Final Doom
Doom 3
Doom 3: Resurrection of Evil

God of War
God of War 2
God of War: Chains of Olympus.

I also have the main games of heroes of might and magic with the exception of the first... might be more i haven't thought of..

I have Half Life 1, Half Life: Opposing Force, HL: Blue Shift (I lost these 2), CS pack (CS, CSS, DoD:S), HL2 and Orange box.

I also have Shogun: Total War, Rome: Total War and Medieval 2: Total War, missing only Medieval Total war.

every metal gear since mgs

Own all the Smash Bros. and used to own all of a few other franchises.

I own (including expansions and spin-offs):

Call of Duty games except for "Finest Hour" and "Roads to Victory" (PSP) - (7 out of 9)

Battlefield games except for the BF2142 expansion "Northern Strike" and "Modern Combat" - (10 out of 12)

NFS games except for "The Need For Speed", "Porsche" and "Underground Rivals" (PSP) - (12 out of 15)

Tony Hawk games except for "Tony Hawk's Pro Skater" - (8 out of 9)

Halo (3 out of 3)
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So Halo is probably the only game series with more than 2 games I completely own.

I own all the Halo games (Xbox and 360).

I own all Smash Bros and Ace Attorney games.

only listing the ones with more than 7 games...

Mario (platformer franchise)
Zelda (besides CDI..... and i'm buying 4 swords on ebay right now :p)
Metroid+prime
Final Fantasy 1-12 and the tactics, the GB ones and mystic quest (doesn't do a good folowup to FFIV and VI...V as a fansub =D )

none for PC sorry :p

@Hephaestos To own all Zelda titles except CDI versions is pretty amazing. There are a ton of Zelda games for GB/GBC/GBA/DS. I seem to always get stuck in Zelda games like OoT the water temple pretty much made it game over for me. I tried to do a walk through later and got so confused how far along I was in the temple that it didn't help much. I need to beat that freaking game....