The Guards series, in order:
Men at Arms
Feet of Clay
The Fifth Elephant
"The Truth" is sometimes considered part of the "Guards" series, since half of the book centers around a mystery in which the Guards are deeply involved, Vimes and Co. are not the main characters in the story.
Different groups of Guards make cameo appearances in "Maskerade," "Going Postal," "Making Money" "Unseen Academicals," "Hogfather" and "Monstrous Regiment." Maybe other books as well, but I don't remember.