Trilogy

From Srafopedia

A trilogy is a set of three works of art, usually literature or film, that are connected and can generally be seen as a single work as well as three individual ones.

Source: Wikipedia: Trilogy

In discussing His Dark Materials, "the trilogy" usually refers to the three main books of the series: "Northern Lights"/"The Golden Compass", "The Subtle Knife", and "The Amber Spyglass".