1) Dark Forces (1995)
2) Dark Forces II: Jedi Knight (1997)
3) Jedi Knight: Mysteries of the Sith: Companion Missions (1998)
4) Jedi Knight II: Jedi Outcast (2002)
5) Jedi Knight: Jedi Academy (2003)
According to info gleaned from the Kyle Katarn fan site (the opening crawls of each game!), #1 takes place shortly before ANH and ends sometime before ROTJ. #2 is 0-3 years after ROTJ. #3 is 5-8 years after ROTJ (5 years after JK). #4 is 8 years after ROTJ (0-3 years after MotS). #5 is 10 years after ROTJ (2 years after JK2).
Yes it's worth playing for SP & MP. If you are a hardcore, diehard JK2 fan who doesn't want anything changed, then you may be disappointed with JA. Or if you hated JK2 and wanted a revolutionary evolutionary step above it, then you may be disappointed with JA. It changes some things which people liked and some other things which people didn't like. So check out the demo and if you like that, get the game.