OK, the basics of what you listed:
A series is an indeterminate number of books that all take place in the same universe, sometimes sequentially.
A trilogy is a specific series, with three books.
A saga is basically a very long story with one underlying theme. For example, genera rations of one family, or something like the events of a town or country over a long period. James Michener used to write these. Sometimes a saga can be a series.
An anthology is a collection of work (short stories, poems, and the like) with one theme. Perhaps an author, or a genre.
There can be a lot of overlap.