StarWing: Never had it, since I never had a SNES.
Star Fox 2: A canceled sequel to StarWing, but a Beta ROM is widely available on the internet.
Lylat Wars: My first SF game, and brought it together with my currently lost Pilot Wings.
Star Fox Adventures: Although it's totally irrelevant to the other SF games, this game is still great, IMO.
Star Fox Assault: That's my favourite SF game, as I love it to switch between Arwing, Landmaster, and/or just walking.
Star Fox Command: This pretty much disappointed me, as it didn't have the feel of the other SF games.
Star Fox 64 3D: Remake of Lylat Wars, out now in Japan, and the rest of the world is coming next month.