Do you count bad sequels as part of the series?

[Starbucks Union Thug HokeyPuck]

Depends on how much the original creators had to do with it. 

Star Wars and its seemingly infinite amount of related media often comes with the Lucas Stamp O' Approval or even some heavy input from the man himself.  So yes, the video games, cartoons, comics, etc etc etc... I consider them all part of the overall story.

All the Terminator stuff from Rise Of The Machines onward?  No.  This stuff has nothing to do with T1 and T2, which was intended to be the complete series (plus some video games and attractions at Universal Studios that gave a little glimpse into the future war, but I digress).  This can be seen certain themes being completely dropped, sometimes reversed, and an utterly ridiculous amount of plot inconsistencies regarding John Connor's age in T2/T3, Sarah Connor's death, the Skynet program, the nature of Skynet, etc. 

So, it depends on the series.