It goes like this:
Metroid-She starts without any weapons, gets weapons, and defeats Mother Brain
Metroid Prime-RIGHT after leaving Zebes, she flies onto the space station above Tallon IV, and her weapons are destroyed in the explosion.
Metroid 2-The big discrepancy here, as it's not explained why she lands on SR388 unarmed. However, the storyline indicates that a somewhat signifigant portion of time passed between her defeat of Metroid Prime and her mission to SR388
Super Metroid-This isn't explained clearly either, but I assume since she's in a hurried pursuit of the baby metroid, she doesn't bring them along. I um...I guess.
Metroid Fusion-Explained in the intro.
Did you guys notice in Fusion, though, in the cutscene on SR388 in the intro, she isn't fully upgraded?