Although Robert Heinlein's Future History began by incorporating "all" of his sf stories at the time of writing, it soon became only a small part of his complete works and does not incorporate several novels clearly set in closely related timelines. The military hero Dahlquist, the blind singer Rhysling, the Lunar family Stone, the Space Patrol, Martians who "grow together" and swamp-dwelling Venerians occur both in the Future History and in some of Heinlein's Scribner Juvenile novels. The same Martians also appear in Stranger in a Strange Land. In fact, five Juveniles could be classed as a Juvenile Future History consistent with the "Green Hills of Earth" period of the (adult) History. However, longer future histories can become diffuse whereas Heinlein's remained concise. Dahlquist and Rhysling each make a significant contribution by appearing in only one story although, like real historical figures, they are also referenced in other possible futures.
Like Poul Anderson's Time Patrol series, the Future History could be collected in two omnibus volumes with the first page of Volume II following directly from the last page of Volume I. The Time Patrol and the Future History are candidate "best" series, dealing respectively with past and future history. Both are definitely superior to Asimov's Foundation Trilogy, which won an undeserved Hugo Award as "Best Ever" sf series.
Larry Niven's Known Space future history, now rather diffuse, contains a Ringworld Tetralogy as a series within the series. The Tetralogy should be read in conjunction with Protector and the Beowulf Shaeffer stories if not also with the rest of Known Space. Again, this series is more imaginative and substantial than Foundation, as are Asimov's own I, Robot, James Blish's Cities in Flight and Anderson's several future histories.
All these series are developmental. Their installments go somewhere, unlike interchangeable episodes of a TV series. Readers of this piece will know of other candidate "best" series, possibly unknown to the present writer. In my opinion, Heinlein's Future History successfully competes with its successors. Heinlein, starting in 1939, skilfully built stepping stones from 1952 to the twenty second century. (See here.) Stories about technological advances were followed by a "first man on the Moon" story, then by several stories set in Luna City before Mars and Venus were colonized. The entrepreneurship that had opened space became economic imperialism with effective slavery on Venus before political tensions on Earth led to an American theocracy and temporary cessation of space travel. Revolution against theocracy had further consequences.
Wells cannot be considered here because he wrote no series. I would vote for Time Patrol as the best sf series (see here) with the Future History as a close second.