First of all, there's an All Pokemon Question Thread pinned at the top of the page, so this could easily have gone there, rather than a new thread being created about. But as for your question...

There's pretty much a movie for every season, though Japan doesn't do seasons. But anyway, here's a list of the movies in order:

M1 - Mewtwo Strikes Back (aka, Pokemon the 1st Movie)
M2 - The Power of One (aka, Pokemon the Movie 2000)
M3 - Spell of the Unown (aka, Pokemon the Movie 3)
M4 - Pokemon 4Ever
M5 - Pokemon Heroes
M6 - Jirachi: Wish Maker
M7 - Destiny Deoxys
M8 - Lucario and the Mystery of Mew
M9 - Pokemon Ranger and the Temple of the Sea
M10 - The Rise of Darkrai
M11 - Giratina and the Sky Warrior

Those are all of the movies that have aired so far, though the 12th movie is being made in Japan. It doesn't really matter when in the anime you watch each movie, as the movies have nothing to do with the series' story line. So you could just watch all the episodes before watching all the movies if you want. Or you could just watch each movie after each season (for example, watch Movie 5 after Season 5). But like I said, it doesn't really matter that much that much as the movies have nothing to do with the series' story line.