Aside from the Ultimate Story, there are also side stories. Some of them are very important to the story while others are just for fun. The Side Stories are as follows:
Ultimate Story the Missing Link: This is the story that links the first Ultimate Story and Ultimate Story 2. Stuff happens that carries on to the 2nd Ultimate Story. That's all I'm going to say.
The Fairies of Kalos: A very unique story with a different plot. Instead of the usual main characters involved on an important adventure, Link and Zelda goes on the journey through the Kalos Region. This takes place between Ultimate Story 4 and Ultimate Story 5.
The Celestial Winx: This introduces a series that I never thought I would add to the Ultimate Story: Winx Club. It's the same characters, but their story is somewhat different. This also takes place between Ultimate Story 4 and Ultimate Story 5. These girls take part in an important plot that carries on to Ultimate Story 5. A major change occurs and the other characters involved continued on for the rest of the story.
The Coming Endgame: This is the side story before the final story. Something happens in this side story that will eventually lead to the plot of the final story.
There you have it, that's all I have for now. I will post more when the time comes.