The Wonderful Wizard of Oz (1900)
The Marvelous Land of Oz (1904)
Ozma of Oz (1907)
Dorothy and the Wizard in Oz (1908)
The Road to Oz (1909)
The Emerald City of Oz (1910)
The Patchwork Girl of Oz (1913)
Tik-Tok of Oz (1914)
The Scarecrow of Oz (1915)
Rinkitink in Oz (1916)
The Lost Princess of Oz (1917)
The Tin Woodman of Oz (1918)
The Magic of Oz (1919)
Glinda of Oz (1919)
The Woggle-Bug Book (1905)
The Little Wizard Series (1913): 6 picture books,
The Cowardly Lion and the Hungry Tiger
Tik-Tok and the Nome King
Little Dorothy and Toto
Ozma And The Little Wizard
Jack Pumpkinhead And The Sawhorse
The Scarecrow And The Tin Woodman
The stories published in newspapers was "Queer Visitors from the Marvelous Land of Oz." The stories ran from 1904-1905, and have been collected in "The Visitors from Oz," and there is a full-color oversized collected edition coming out next year.
There was also a partial draft of a chapter discovered for an unfinished Oz book, and a quick story that Baum wrote in a copy of "The Road to Oz" for his grandson is considered it's own tale, "A Short, Short Oz Story." He also wrote a story called "The Littlest Giant: An Oz Story," but there seems to be no real connection to Oz.
Baum's books that are connected to Oz...
The Magical Monarch of Mo (1903, originally "A New Wonderland" from 1900)
Dot & Tot of Merryland (1901)
The Life & Adventures of Santa Claus (1902)
The Enchanted Island of Yew (1903) (Loosely connected)
Queen Zixi of Ix (1905)
John Dough and the Cherub (1906)
The Sea Fairies (1911)
Sky Island (1912)
Oz-related short stories...
The Runaway Shadows (1901)
The King Who Changed His Mind (1901)
A Kidnapped Santa Claus (1904)
Nelebel's Fairyland (1905)
Did I forget anything? That list was exhausting! I hope it was also exhaustive...