There was only one movie released in theaters, though there are almost as many "Cuts" of it as Blade Runner so the confusion isn't surprising. There were several SG1 double-length episodes/made for TV movies that have key plot material. (Children of the Gods, Continuum and Ark of Truth)
Stargate: Atlantis's run overlaps with SG1, starting in season 8. There is crossover between the two shows that moves both storylines along, but each is watchable on its own.
Stargate: Universe takes place after the SG1 run.
This link has a more complete synopsis of the series.
www.gateworld.net/news/2009/05/stargate-recommended-viewing-order/
