Most movies ended being theatrical after Pokémon Heroes, not counting Pokémon: Mewtwo Returns. Here is a list of all the non-theatrical Pokémon movies.
Pokémon: Mewtwo Returns (December 4, 2001) Movie # Code: 4
Pokémon: Jirachi Wish Maker (June 1, 2004) Movie # Code: 7
Pokémon: Destiny Deoxys (January 22, 2005) Movie # Code: 8
Pokémon: Lucario and the Mystery of Mew (September 19, 2006) Movie # Code:9
Pokémon Ranger and the Temple of the Sea (March 23, 2007) Movie # Code: 10
Pokémon: The Rise of Darkrai (February 24, 2008) Movie # Code: 11
Pokémon: Giratina and the Sky Warrior (February 13, 2009) Movie # Code: 12
Pokémon: Arceus and the Jewel of Life (November 20, 2009) Movie # Code: 13
Pokémon: Zoroark Master of Illusions (February 5, 2011) Movie # Code: 14
Pokémon: The Movie White (December 3, 2011) Movie # Code: 15b
Pokémon: The Movie Black (December 10, 2011) Movie # Code: 15a
Pokémon: The Movie Kyurem vs. the Sword of Justice (December 8, 2012) Movie # Code: 16
Pokémon: The Movie Genesect and the Legend Awakened (October 19, 2013) Movie # Code: 17a
Pokémon: The Movie XY* (October 19, 2013) Movie # Code: 17b
Pokémon: The Origin* (November 22, 2013) Movie # Code: 17c
Pokémon: The First Movie (Remastered) (January 4, 2014) Movie # Code: 17d
Pokémon: Mewtwo Prologue to Awakening** (January 11, 2014) Movie # Code: 17e
It is still unknown if Pokémon: The Movie Xerneas and Yveltal The Clash of Two Legends will be theatrical yet.
* indicates that this movie is a sub-movie and was multiple Pokémon anime episodes put together to make a movie.
**indicates that this movie is a movie special and is a sub-movie.