Tough call. I don't think I can name a franchise where I played all the games. Or even cared about all the games. To me game experiences stand on their own. For example: I had an absolute blast with starcraft 2, but never got around to even buying heart of the swarm or that third one (and I'm playing protoss, mind you).
Let's see...the honorable mention:
-fallout series: adored 1 and 2, and though different, 3 as well. Got that vegas game in a bin and have yet to even start. Never even got around to 4.
5) rollercoaster tycoon: absolutely loved 1 and 2. PC wasn't powerful enough for 3 so I skipped. After that, I avoid it like the plague (unless you count parkitect as the spiritual successor).
4) C&C red alert: the first and (especially) second were good, but I feel 3 jumped the shark with added options that required more than a mouse to properly play the game (yeah...I'm a casual RTS player. Also: EA murdered westwood studios). I'm not sure if C&C counts in this franchise as well, because my opinions on those games are all over the place (original was great, tiberian sun terrible, 3 was meh and I never even bothered 4).
3) Donkey kong (country (returns) ). I really don't know why I like this franchise so much, but I can't deny I like pretty much all original games. I liked the game & watch ones, adored Mario vs donkey kong on gameboy and gameboy advance (the mini things on mobiles were okay but not as good), adored rare's SNES games and bought the wii and wiiu games blind (the first one even despite the fact that my console was hacked).
The thing is: Those game & watch games, the GB(A) mobiles, the (3)DS ones and the later console versions were all wildly different. Granted, I like the character (both as a villain and as a character), but aside from the solid console games I don't know why I like these so much.
2) Zelda: I've far from played all versions and sometimes quit on some version, but the ones I really got "into" are among the best games I've ever played. Link's awakening was a masterpiece, loved the oracle ones, loved the wii versions, now loving BOTW. And for some reasons, four swords adventure on gamecube also does it. The strange thing is that I don't have any anticipation on these things. I don't get the appeal of the NES versions and lost patience on the SNES version at some point. Even stranger is that I've bought ocarina of time 3D as one of the few games for my 3DS and after a couple of hours I just "meh"-ed and played something else.
1) Unreal Tournament: this just HAD to be the top spot. I've played UT2004 for YEARS, and the original UT not much less. UT3 took some steps in the wrong direction (namely in the UI and vehicles) but on hindsight it wasn't terrible. Oh, and the original unreal also has a soft spot in my heart (note: since you only needed a free mod/mutator for UT, this was technically part of Unreal Tournament
).
...but even this franchise is not without flaws. UT2003 has it easy: my computer wasn't strong enough to properly handle it, and by the time I got that UT2004 was released. Unreal 2 is just an example how NOT to do a sequel (it was like they started by making a list of everything that made unreal great, like music, holistic level design, the unfolding of story, the mix of sci-fi & medieval ...and then toss all that out the window). And even stranger: the makers are now making a new version that will be totally free to play, and thus far does everything right in my book...yet I can't even bother with it (granted: since it was in early access then, it didn't have much content yet).