Good question Scylla, let me start.
For Master System actually none of the series.
For Game Gear there are three of them:
Shining Force Gaiden (released only in Japan).
Shining Force Gaiden 2:The Sword of Hajya.
Shining Force Gaiden 3:The Final Conflict (Only in Japan).
The first two gaidens continue the story from the first shining force on mega drive and the second connects the previous three (SF, SFG1, SFG2) with Shining Force 2 on mega drive.For example:If you played SF2 on MD you already know of Sir Hawell (Kazin's teacher), well he is a member of the Force in the Final Conflict with some other old friends!
I have the ROMS and the translation for all the Japanese Shining Forces if you want them contact me. 🙂