Watch Yu-Gi-Oh! 5D's, which is 154 episodes / 5 seasons in length.

Note that you'll have to hunt for subtitled episodes if you want to watch the fourth (and final) season of GX - it was never dubbed. Watch Yu-Gi-Oh! GX, which is 180 episodes / 4 seasons in length.So be sure to watch that before starting GX. Also since this comment was written another Yu-Gi-Oh! movie Dark Side of Dimensions has been released which takes place 6 months after the end of Duel Monsters. It is best to watch it after episode 198 of Duel Monsters as it takes places between 198 and 199. This mini-series was created exclusively for US release (so I guess it's 'non-canon' if you care about that), but it's pretty enjoyable nonetheless. If you'd like, watch Capsule Monsters, which is 12 episodes in length.At any point after episode 144, you can, if you'd like, watch the Pyramid of Light movie. Watch Yu-Gi-Oh! Duel Monsters (the first series, not the 'zeroth' series), which is 224 episodes / 5 seasons in length.

As Peter Raeves points out in the comments, a useful listing is available at Wikipedia's List of Yu-Gi-Oh! episodes article.

Yu gi oh season 5 episode list