Although many of the Oz films aren't related some of them are believed to be. Here is a continuity that fans made up.
Oz the Great and Powerful
Although OTGAP is the latest film it is the first film chronologically. It is set when Oz came to Oz and before Theodora was bad.
Return to Oz
RTO takes place six months after TWOO.
Althogh Tin Man doesn't directly fit into the continuity it does feature Dorothy in her infamous outfit.
The Witches of Oz
TWOO takes place in its own continuity not addressing any of the previous films.