Joe Siegler's explanation of the history of the Keen series:

The seven Commander Keen games were all written by id Software.
They are:

  1) Marooned on Mars    ---\
  2) The Earth Explodes     | ---> Invasion of the Vorticons
  3) Keen Must Die       ---/
3.5) Keen Dreams
  4) Secret of the Oracle    --\__  Goodbye Galaxy
  5) The Armageddon Machine  --/
  6) Aliens Ate My Babysitter

Episodes 1-3 are collectively called "Invasion of the Vorticons,"
and are published by Apogee Software.   This series of Commander Keen
was released on December 14th, 1990, according to Tom Hall, then Creative
Director for id Software.

Episodes 4-5 are collectively called "Goodbye Galaxy!" and are also
published by Apogee Software.  This series of Commander Keen was
released somewhere around June of 1991.  There was also a special CGA
edition of Keens 4-5.  The CGA version is functionally identical to the
standard EGA version of the game, but with CGA graphics.  Apogee discontinued
the CGA version in November 1997.

In April 1998, episodes 1-5 were bundled together on a single CD and sold
}as a unit for $49.95 (later repriced at $20.00).  This is now the only way
any of these Keen episodes may be purchased.

Episode 6 is a stand-alone game which uses the Keen 4-5 engine and is entitled
"Aliens Ate My Babysitter."  From its creation in 1991 until 1996, it was
distributed by FormGen, and Apogee merely resold it, like any other retailer
would.  In 1996, FormGen was bought by GT Interactive and did not continue to
distribute the game.  Therefore, Apogee was left with what stock they had at
the time.  In August 1997, that stock ran out.  Later, id distributed a
package called "The id Anthology," but that CD, for some reason, only had the
CGA version of the game.  The id Anthology has since been discontinued.
There was a playable demo of Keen 6 that FormGen distributed at one point.
It was released to various online services as #6k-demo.zip and k6demo.zip; it
may or may not still exist in some remote part of the Internet.

Keen Dreams has an interesting story.  This is referred to as the
"Lost Episode" of Commander Keen.   I like to think of it as "Keen
Episode 3.5."  The reason is that Keen Dreams falls in between
Vorticons and Galaxy both in terms of technology and story line.
Before the id guys actually formed id, the majority of them worked at
Softdisk, a computer software publisher in Shreveport, LA.  The
founding members of id Software left Softdisk to do the Vorticons
series of Keen for Apogee Software.  However, they were contractually
obligated to deliver another game to Softdisk, and since development
had started on the Galaxy series, they threw together a Keen game for
Softdisk, and Keen Dreams was born.  This game is not sold by Apogee
Software, nor does Apogee have anything at all to do with it.  You'd
need to contact Softdisk for any further information regarding Keen
Dreams.

Episodes 1, 3.5, 4, and the three level demo for episode 6 are
the only ones that you are legally allowed to upload and download
anywhere.  Episodes 2, 3, 5, and the full version of episode 6 are
commercial software, and should not appear on the Internet or any
other online service, or should otherwise be sold except for authorized
sellers of the games.

In December 1996, id Software published a package called "The id
Anthology".  This product contains every single game that id Software
ever made, as well as some others that were made by id people for other
companies like Softdisk.  Included in this package are all seven Commander
Keen games.  As a side note, for some reason, the person at id Software who
put the package together put in only the CGA version of Keen 6.  For more
information on the id Anthology, contact id Software (Apogee has nothing
to do with the id Anthology).

On May 30, 2001, Activision published a new Gameboy Color Keen game by IMS
Productions, which was called, simply, "Commander Keen."  Apogee has nothing
to do with this game, and id was only involved to the extent that they
approved of the project and out licensed the Keen character and universe.

Here are the online filenames as currently available from Apogee for the
various Keen games from Apogee.  Some forums may have a '#' prepended onto
the filename.

        Keen 1 -> 1KEEN.ZIP
        Keen 4 -> 4KEEN.ZIP
        Keen 4 -> 4KEENC.ZIP (CGA Version)

I've seen the 3 level Aliens Demo available with the filename
#6K-DEMO.ZIP and K6DEMO.ZIP.  I've seen Keen Dreams available with
the filename KDREAMS.ZIP.  However, neither of these are Apogee
products, and I cannot vouch for the files' names.

If you played Keen 5, you may have noticed a screen that said something to
the effect of, "Join us in December 1992 for the greatest Keen adventure
yet."  There was a picture of Keen smiling, with a Santa Claus hat on.
At the time, id Software was intending to do a third series of
Commander Keen, tentatively entitled "Commander Keen: The Universe is
Toast."  However, other projects came up (Wolfenstein 3D, Spear of
Destiny, and later, Doom).  There are no plans now to do more
Keen.

On a different note, Commander Keen, and artifacts from the Keen games have
found their way into other games.  Commander Keen is listed in the default
scoreboards of a handful of Apogee games, mentioned in the instructions of
one, and has made a few more prominent appearances, which are listed under
the "Cameos" section of this FAQ.  Also, see the section on "What's B. J.
Blazkowicz's relationship with Commander Keen?" for information on that.

Finally, you can visit the Keen: Vorticons page of the Apogee WWW pages to see
the original, rejected title screen for Keen I.  The direct URL for this
is http://www.3drealms.com/keen1/images/keen1title.jpg.