This includes:
The Electrical Tale of Pikachu!
Pokémon Adventures (if a specific part, just say so. Like the Hoenn addition.)
Magical Pokémon Journey
Pocket Monsters Zensho (a Japanese-only manga...released in Shonen Jump I believe in 1998)
Pokémon Gold & Silver The Golden Boys
Pokémon Ruby-Sapphire
Pokémon Jirachi Wish Maker (manga adaptation)
Pokémon Destiny Deoxys (manga adaptation)
Pokémon Lucario and the Mystery of Mew (manga adaptation)
Pokémon Ranger and the Temple of the Sea
Pokémon: The Rise of Darkrai
Pokémon: Arceus and the Jewel of Life
Pokémon: Zoroark: Master of Illusions
Pokémon Diamond and Pearl Adventures
Pokémon Black and White (it's not a full "volume" yet but may as well list it)
Erm, my favorite is... probably Adventures. Kanto.