"The Gathering" is the original pilot. It takes place before season one. It's not required viewing, but it does add a few extra layers to things. There's no reason you can't watch it now.
"Thirdspace" takes place between "The Illusion of Truth" and "Atonement in season four. It's not necessary to watch i then, however. You could just as easily watch it after finishing the series.
"River of Souls" takes place six months after "Objects at Rest." Its entirely standalone, and, quite frankly, pretty bad. Watch it, if you must, after you've finished the series.
"In The Beginning" is a prequel to the series, but it is built around a framing sequence that takes place in 2277. I wouldn't watch it until you've finished everything but the final episode, "Sleeping in Light." I think it fits well between "Objects at Rest" and "Sleeping in Light," actually, but you may want to hold off until you've finished the series.
"Call to Arms" is a Babylon 5 movie, but it is also a sort of pilot to Crusade. Watch it before you watch the episodes of that short lived series, if you plan to.
"Legend of the Rangers" was a failed pilot movie. It's not as bad as detractors would claim, but it's not very good, either. It takes place after "River of Souls" and before "Call To Arms," but there's really no reason you should have to watch it then. Save it for after the series.
"The Lost Tales" take place ten years after "Objects at Rest," but due the the main titles, I feel they're very much intended to be seen after you've watched everything else, or in the very least after you've watched "Sleeping in Light" (the series finale).