LotR - Good action movies, and very entertaining, but not the best trilogy ever
Matrix - Good first movie?
Indiana Jones - The best action trilogy ever, great plots, great acting, great movies. My vote for best trilogy ever.
Godfather - Inconsistant. Great movies, but not a great trilogy.
Star Wars - Classics, but the plots were kind of weak, and Lucas milking it for so long has tainted them.
Naked Gun - Funny, but not best trilogy of all time.
Back to the Future - fizzled after the first one
Terminator - Good, consistant movies. Great action, bad plots and bad acting, if you call that acting.
Die Hard - One was good, two was ok, what was the third one??? This is from someone who owns the whole trilogy

Alien - I assume you mean the first 3

After watching the SEs of the quadrilogy, they were all very good movies, but the plots were too similar. Top 10 trilogy material, but not #1
Jurassic Park - First one was da bomb, second was OK, but not at all like the second book? Third movie was, well, horrible. I mean, can you even call that a movie? Plus, Spielburg's blatant racism was just disgusting.
Left out trilogies - Jaws, Austin Powers, Batman (kind of), Home Alone

, Silence of the Lambs (Hannibal, Red Dragon), Scary Movie, Lethal Weapon (quadrilogy, but whatever

), American Pie, Scream (best horror trilogy?)
Oh, btw, I like movies if you couldnt tell

I've seen all these movies, and own most of them, so I know at least somewhat of what I am talking about
my DVD collection.