The OVA and movies follow Lina's timeline before the series, even though they are released side by side.

I have only seen the first two movies, so I don't know the order past that point. Here is what I know of the order:

OVAs and Movies:

Slayers: The Book of Spells (1995 - original OVA)
Slayers: Perfect (1995 - aka. Slayers: The Motion Picture)
Slayers: Return (1996)
Slayers: Excellent (1998 - second OVA series - haven't seen it, but the description says it tells the story of the first meeting of Lina and Naga)
Slayers: Premium (2001)
Slayers: Gorgeous and Slayers: Great (No release dates given by Animenfo.com, I don't know what order they go in)

Series:

The Slayers (1995)
Slayers: Next (1996)
Slayers: Try (1996)

I was under the impression that there was a fourth season of the series, but again, no info given on www.animenfo.com so I can't verify.