Lulu, there are five games in the Oddworld Quintology:
Abe's Oddysee
Munch's Oddysee
Squeek's Oddysee
Nod's Oddysee
xxxxx's Oddysee
Nod is only a rumour, and we don't know about the final hero at all. You're right in thinking that the games marked 'Exoddus' don't count towards the Quintology's total, although they are part of it. OWI like to refer to them as 'bonus games', which is suitably fitting, but you can also think of them as an addendum to each main chapter of the story. While MO was in production, Lorne was confident there'd be several bonus games to fully explain his story.
There are two other series in the Oddworld franchise, the Habitales and Fearietales. The first game in the Habitales series is Hand of Odd, which has already been explained. I must, at this point, correct Steel Scrab and iterate that when the game was in production, there were three sides. Fearietales are games that explore the afterlife and spiritual side of Oddworld's realm. They are separate from the Quintology, therefore Hand of Odd is not, as I see some sites proclaiming, the fourth or fifth game in the Oddworld series.
For the record, Oddworld 4 is a confusing title. It's the fourth Oddworld game to be made, nothing more - it's not part of the Quintology, it's not a bonus game, it doesn't fit the descriptions of either the Habitales or the Fearietales series, it's simply a game that stands on its own.
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