The first anime film was meant to tie up loose ends and make sense of certain events in the first season. Later films in the series were more standalone, though still considered in continuity. Interestingly though, the tenth, eleventh, and twelfth movie feature an overarching storyline involving the three Dragon legendaries of Sinnoh.
It is worthy to note that the first movie was once intended as a Grand Finale in the early production process, indicated by early teasers, but that plot was dropped later because of popularity.
There are now sixteen of them, two of which are actually one for the price of two.
Super Dimension Fortress Macross: Do You Remember Love? told an alternative version of the events during the series, and was later retconned into appearing in later Macross series as a fictional movie produced in the Macross 'Verse twenty years later, telling a garbled version of events that the few survivors had witnessed.
The Revolutionary Girl Utena movie takes the series' already-difficult-to-understand (at least for Westerners) Buddhist allegory, compresses it into two hours, and makes it even more allegorical. The resulting head trip of a film requires advanced knowledge of jungian theory, and knowledge of Gnostic belief to understand at all (but is still plenty hot if you don't).
The Vision of Escaflowne movie radically altered characters and motivations, hitting similar themes in a very different way than the series.
The RahXephon movie made similar radical alterations in the attempt to compress a season's worth of difficult-to-understand story into two hours.
The eighth One Piece movie, One Piece: Episode of Alabasta, Princess of the Desert and the Pirates, is a retelling of the series' Alabasta arc.
There are a total of 11 One Piece movies so far. To be specific, Movie 1 takes place before Sanji joins. Two and Three before Alabasta (though three is consider very non canonical as they forgot to add Vivi). 4, 5, 6 and 7 between Alabasta and Water 7. 8 as stated, a abridged retelling of the Alabasta arc. So was 9 with Drum Island, though that one was designed as a What If? story (The Straw Hats have Sunny Go, No Vivi, Franky and Robin are now in this tale). 10 was a major shake up because it's in canon with the manga. The 11th movie reverts back to being non-canon to the manga, but is notable as the first One Piece movie to be rendered in 3D CGI instead of hand drawn animation.
A twelfth film has now been confirmed to be in development for the end of 2012. It will follow upon the model of the tenth movie in which it will contain canon material thanks in no small part to Oda's involvement in the writing process.
Currently there are 4 Bleach movies released. The first is about a group of rebels trying to destroy Soul Society, the second is about Captain Hitsugaya trying to clear his name, the third is about people forgetting Rukia and Ichigo, and the fourth is about Hell.
Similarly, there are nine Naruto movies. The first three films are set in Part 1; the first takes place before the Sasuke Retrevial arc, the latter two sometime during the filler arcs. The six Shippuden movies seem to take place respectively before Sai's introduction, before Sasuke killing Orochimaru, sometime after Asuma's death, 20 years in the past, some nebulous time around Pain's invasion and the 5 Kage Summit, and some nebulous time before the 4th Shinobi World War.
Showing just how far in popularity Axis Powers Hetalia has risen since its anime release in 2009, a movie was announced in September, 2009, for 2010.
Sailor Moon had three, one in the second season (Sailor Moon R The Movie), one in the third (Sailor Moon S The Movie), and a final in the fourth (Sailor Moon SuperS The Movie). None have anything to do with their corresponding seasons but seem to take place in just 'somewhere' in them. The S movie is the only one directly based on anything, a standalone manga chapter, The Lover of Princess Kagyua, Naoko Takeuchi wrote purposefully for adaption... there are quite a few plot diversions between them though.
The SuperS movie is notable for having a traditional episode style title. It's full title is Sailor Moon SuperS: The Movie: The 9 Sailor Senshi get together! Miracle in the Black Dream Hole! The other two don't have any title aside from Sailor Moon R/S: The Movie. (Though the dub tacked one on anyways)
Each Movie also aired with a short special. R had Make-up! Sailor Senshi, which introduced the Sailor Senshi, S had Ami-chan's first love (based off the manga chapter of the same name), while S had 3 smaller ones: An Elegant Metamorphosis? Crybaby Usagi's Growth Diary" a recap of the first 3 seasons, Haruka and Michiru, Again! The Ghostly Puppet Show", which shows what Uranus and Neptune are doing during Super S, and Chibiusa's Adventure! The Dreaded Vampire Castle" which has the Sailor Senshi fight a vampire and is loosely based on a manga side-story.
It does fit in passably, considering the episodic nature of Cowboy Bebop - a reasonably long amount of time could pass between any two given episodes.
Given that Big Shots is still on, but we see a cameo of Andy as a ronin instead of a cowboy (which happened at the end of the episode he was in) it'd easily take place between episodes 22 and 23.
Word Of God stated that the movie is meant to show us the Bebop crew's last full mission together, before Ed's departure and Spike's death. That places it squarely in between episodes 23 and 24.
Ghost in the Shell: Solid State Society is effectively the show's "Third Gig", although it only occupies one film rather than a whole series. It shows. (Not in a directly bad way, it's just glaringly apparent.) There are also two movies, "The Laughing Man" and "The Individual Eleven", which are basically compilations from the two original season arc episodes. These two films have been criticised for compressing the plots so much that they are hard to follow, and also for the fact that the English dubs were not performed by the actors who dubbed the series.
Though if you go by the related sound stage, it's apparently an actual movie in story...On the other hand, a Sound Stage for the PSP games has the Original Generation characters meet the movie versions of Nanoha and Fate.
Another movie was later released retelling the second season. A third movie has been planned.
Pretty Cure has roughly one movie of this sort per series. (If Hikari hadn't been in the first movie, it would have been exactly one per series.) Like the Sailor Moon movies mentioned above, all of them are disconnected from the parent series' plots but seem to take place somewhere along the way.
Tengen Toppa Gurren Lagann had two movies: Gurren Chapter and Lagann Chapter that were essentially summaries of the original series with new animation put in. Don't let that fool you though. In Gurren-hen the beginning of the movie shows Lord Genome's rise to Spiral Knight and fall to despotic tyrant. Then it's pretty much the same until: Adine, Guame, Cytomander, and the new general: Viral (Yes that Viral, complete with his own Enkidu-daiganzan) all attack the Dai Gurren-dan at once. Simon later snaps out of his wangst after trying to climb Suzaku to save Nia. (Suzaku is at least a mile in the air at this point) The generals then combine their mechs to form the Dai-Gan Doten-Kaizan which falls after a combined attack by the entire Dai Gurren-dan (GIGA DRILL BREAKER! DAI GURREN-DAN SHOOT) Lagann-hen then takes the last episode of the series and raises it to the power of itself after: The ENTIRE Dai Gurren-dan (Only Kittan died, the rest of the Mauve Shirts survived) get their own Tengen Toppa Ganmen. (Even Nia) After Lord Genome converts the Big Band Storm all of the ganmen combine to form SUPER Tengen Toppa Gurren Lagann. From Super Tengen Toppa Gurren-Lagann's drill comes Tengen Toppa's drill. From Tengen Toppa's drill comes Chouginga Gurren-Lagann's drill. From Chouginga's drill comes Arc Gurren-Lagann's drill. And from Arc's drill comes Gurren-Lagann. Viral does a Cannonball Attack. And then Simon and the Anti-Spiral fistfight. Then Simon turns his own blood into a drill and goes straight through the Anti-Spiral.
Slayers has five Non Serial Movies, but only the first is considered The Movie. Drawn to the mysterious resort island of Mipross by dreams planted in her head by the ancient wizard Rowdy Gabriev, Lina and Naga get involved in a battle against a demon named Joyrock that culminates in Lina being sent back in time to kill him before he could slaughter the elves of Mipross, an act that is stated to be directly responsible for the existence of Lina's companion Gourry Gabriev.
The movie version of X/1999 was produced when the manga was still beginning. Because of this, many plot elements were over-simplified or cut-out completely, with one of the antagonists (Kakyo Kuzuki, who was yet to be introduced in the manga when the movie was made) being replaced with a new character (Shogo Asagi). The movie sets aside the conflict between the individual Heavenly Dragons and Earth Dragons to focus more on the relationship between the childhood trio of Kamui, Fuma, and Kotori.
The Disappearance of Haruhi Suzumiya, based on the light novel of the same name, was released 2010.
Gintama has a movie adaptation of the fan-favorite Benizakura Arc. Also, in 2013, another movie with an original plot was released, supposedly to act as a 'final episode' for the Gintama anime. Though, considering how many times the staff has trolled the fanbase by claiming the show has been cancelled, there is a certain lack of credibility to this...
Doraemon will have more than 30 movies in a year or two, but since the story doesn't have a real ending nor it has any development, plus what most of what the studio's doing nowaday is to remake em'all for new genaration's kids. All Doraemon movies (except some short movies and spinoffs) are considered not the Non-Serial Movie
Fate/stay night got a movie based on one of the routes in the game: Unlimited Blade Works. Like all anime adaptation movies, some things were cut, some scenes were changed, and some others possibly enhanced.
Dragon Ball has had 17 movies released theatrically in Japan (4 for Dragon Ball, 13 for Dragon Ball Z). The majority of them do not fit into the series continuity and are usually basic re-imaginings of the series sagas (Movie 7 featured three more androids made by Dr. Gero. Sound familiar?). In addition to these, there were 3 made for TV movies (that do fit into the series continuity), 2 OVAs and 3 live-action adaptations (with only one being more or less official).
Legend of Galactic Heroes has three theatrical movies, namely, My Conquest is the Sea of Stars, Golden Wings and Overture to a New War. Incidentally, the first of those three actually predated the release of the first animated series.