Oz is fairyland originally created by L. Frank Baum as stories he told his four sons and their friends.     

There are forty Oz works that are considered "official" Oz works.  The authors of these works are referred to as "Royal Historians of Oz".
 
Baum proceeded to write 14 Oz books, the first of which, “The Wonderful Wizard of Oz”, was published in 1900.
Ruth Plumly Thompson took over as a Royal Historian of Oz in 1921 with The Royal Book of Oz (originally authorship was wrongly attributed to Baum) 
and proceeded to write an Oz book a year for nineteen years until 1939.
Several authors wrote the final seven books of the official series.

I was able to find free copies of all 40 of these works online.  Thanks to Vladimir for the last three.
There are a number of other Oz related works that are not considered "official" and I will add these in as I find copies online.

As to the links below, all of the PagebyPage links are to online reading.  Where the InternetArchive links indicate "Illustrated", that means illustrated 
and other formats are available for download.  Where the InternetArchive links indicate "Text", only a text version is available for download.  
For those Baum books, I was able to find illustrated copies to read online.

Starting with book fifteen I was unable to find illustrated copies of the books.  

The ManyBooks links have non-illustrated copies available for download in a variety of formats.

I did find a large number of books at the Conscious Living Foundation available for download in Word format.  Since there was no way to direct link to each 
book and since the downloads were in .DOC, I converted these to text and PDF downloads and made them available here.  The Conscious Living Foundation 
does have a large number of book series for children available if you wish to visit that page.  

To the best of my knowledge all of these works are legally available for viewing and download.
If you have any information to the contrary, please contact me and the inappropriate links will be removed.

Many of you have probably come here through my Free Children;s Books Online page at Gizmo's Freeware.  For those who have not, there is more
information on free children books there and it is worth a visit.

These were among my favorite books as a child and I hope you enjoy them.

By L. Frank Baum

1. The Wonderful Wizard of Oz (1900) InternetArchive (illustrated) PagebyPage

2. The Marvelous Land of Oz (1904) InternetArchive (illustrated) PagebyPage

3. Ozma of Oz (1907) InternetArchive (illustrated) PagebyPage

4. Dorothy and the Wizard in Oz (1908) InternetArchive (illustrated) PagebyPage

5. The Road to Oz (1909) InternetArchive (illustrated) PagebyPage

6. The Emerald City of Oz (1910) InternetArchive (illustrated) PagebyPage

7. The Patchwork Girl of Oz (1913) InternetArchive (illustrated) PagebyPage

8. Tik-Tok of Oz (1914) InternetArchive (illustrated) PagebyPage

9. The Scarecrow of Oz (1915) InternetArchive (illustrated) PagebyPage

10. Rinkitink in Oz (1916) ChildrensBooksOnline (Illustrated online read) InternetArchive (text) PagebyPage

11. The Lost Princess of Oz (1917) InternetArchive (illustrated) PagebyPage

12. The Tin Woodman of Oz (1918) ChildrensLibrary (Illustrated online read) InternetArchive(text) PagebyPage

13. The Magic of Oz (1919) InternetArchive (illustrated) PagebyPage

14. Glinda of Oz (1920) Google (illustrated online read) InternetArchive (text) PagebyPage

By Ruth Plumly Thompson

15. The Royal Book of Oz (1921) Read Online  ManyBooks (downloads)

16. Kabumpo in Oz (1922)   ManyBooks (downloads)

17. The Cowardly Lion of Oz (1923)  Text  PDF

18. Grandpa in Oz (1924)  Text  PDF

19. The Lost King of Oz (1925)  PDF  Text

20. The Hungry Tiger of Oz (1926)  PDF  Text

21. The Gnome King of Oz (1927)  PDF  Text

22. The Giant Horse of Oz (1928)  PDF  Text

23. Jack Pumpkinhead of Oz (1929)  PDF  Text

24. The Yellow Knight of Oz (1930) PDF  Text

25. Pirates in Oz (1931)  PDF  Text

26. The Purple Prince of Oz (1932) PDF  Text

27. Ojo in Oz (1933)  PDF  Text

28. Speedy in Oz (1934)  PDF  Text

29. The Wishing Horse of Oz (1935)  Text  Read Online  PDF

30. Captain Salt in Oz (1936)   Read Online  PDF  Text

31. Handy Mandy in Oz (1937)   Read Online  PDF  Text

32. The Silver Princess in Oz (1938)   Read Online  PDF  Text

33. Ozoplanning with the Wizard of Oz (1939)  Read Online  PDF  Text

Miscellaneous Authors

34. The Wonder City of Oz (1940)  PDF  Text    (John R. Neil)

35. The Scalawagons of Oz (1941)  PDF  Text   (John R. Neil)

36. Lucky Bucky in Oz (1942)   PDF  Text     (John R. Neil)

37. The Magical Mimics in Oz (1946)  Read Online  PDF  Text  (Jack Snow)

38. The Shaggy Man of Oz (1949) Read Online   PDF  Text  (Jack Snow)

39. The Hidden Valley of Oz (1951)  PDF      (Rachel Cosgrove)

40. Merry Go Round in Oz 1963)     PDF       (Eloise Jarvis McGraw and Lauren Lynn McGraw)

41. Yankee in OZ   (written in 1959-Published 1972)     PDF  DOC  (Ruth Plumly Thompson)   {Copy incorrectly identifies it as Book 39}