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As Peter Raeves points out in the comments, a useful listing is available at Wik
ipedia's List of Yu-Gi-Oh! episodes article. In brief:
Watch Yu-Gi-Oh! Duel Monsters (the first series, not the "zeroth" series), w
hich is 224 episodes / 5 seasons in length. At any point after episode 144, you
can, if you'd like, watch the Pyramid of Light movie.
If you'd like, watch Capsule Monsters, which is 12 episodes in length. This
mini-series was created exclusively for US release (so I guess it's "non-canon"
if you care about that), but it's pretty enjoyable nonetheless.
Watch Yu-Gi-Oh! GX, which is 180 episodes / 4 seasons in length. Note that y
ou'll have to hunt for subtitled episodes if you want to watch the fourth (and f
inal) season of GX - it was never dubbed.
Watch Yu-Gi-Oh! 5D's, which is 154 episodes / 5 seasons in length. At any po
int after episode 86, you can, if you'd like, watch the Bonds Beyond Time movie.
Note that large segment of seasons 4 and 5 were never dubbed. Again, you'll hav
e to hunt for subtitled episodes if you want to watch these in their entirety. T
here is also a special ("Shinka suru Kettou! Stardust VS Red Demons") that was n
ever dubbed.
Watch Yu-Gi-Oh! ZEXAL (series 1), which is 73 episodes / 3 seasons in length
. There is also a special (the one featuring Kouhei Uchimura) that was never dub
bed.
Watch Yu-Gi-Oh! ZEXAL (series 2), which is 73 episodes / 3 seasons in length
. Since this series only just ended in Japan (Mar 2014), dubbing is still in pro
gress. As of this writing (13 Jun 2014), it looks like the first 40 episodes hav
e been dubbed, with more coming out at a rate of one per week. Once you've caugh
t up with this, you'll be up-to-date with the dubs.
If you don't mind watching subs, start watching Yu-Gi-Oh! Arc-V, which is on
going as of Apr 2014. Konami has licensed it for dubbing, but the dubs presumabl
y won't start until the dubs for ZEXAL series 2 are complete.