Not to forget Kagetsu Tohya, Melty Blood and Melty Blood RE-ACT (as well as the later plus-disc release of Tsukihime and the arcade port of MB, Act Cadenza). All of those games add new characters as well as fun elements to the series, nekomimi Arcueid and Rin for example. ;)
Kara no Kyoukai is another part of the series, but unlike the other parts which are games this one is a novel.
So the only true ADV/AVG games in the series are Tsukihime and Fate/stay night which can be played without any further knowledge and the Fate/stay night anime can be viewed without having any idea about the whole TYPE-MOON franchise. ;)
And yes, those are hentai as they have sex-scenes and cgs portraying those. Tsukihime far more than F/sn though.
Anyway, the anime version of Tsukihime was pretty free of it, except for that one scene which didn't have anything explicit though and the Fate/stay night anime will probably have even less.
And it will be a must watch, same goes for the Tsukihime anime, it's a must watch. :P