Personally I always watch them in the order they are made (if I'm interested in all related animes that is), and I haven't regretted it so far. It worked fine for the whole Slayers-franchise as well.
The OVAs and movies are in the middle of the different series/season though, and in that case I just watched them after its respective series. It's really up to you, the OVAs/movies are rather standalone from the series (side plot and side characters that don't really coindicide with the series except last OVA if I remember correctly).
You can watch only the series and skip the movies as well, or watch them in between when they were released (like I did), or just watch them all in the end. I don't think it really matters, but personally I found the movies and OVAs worse than the series.
