Set 3: Companion Rules by Frank Mentzer
Set 4: Master Rules by Gary Gygax with Frank Mentzer
Set 5: Immortals Rules by Frank Mentzer
Wrath of the Immortals by Aaron Allston 

The Companion rules covers characters levels 15 - 25; Master rules from 26 - 36; Immortal rules from 37 on up.

Unlike with the D&D Basic Set and Expert Set, the series of modules produced to support each of these expansion sets were exclusive; in other words, the modules were the only modules ever produced to support them.  Access their pages here:   Companion Series    Master Series    Immortals Series

The Wrath of the Immortals boxed set is the Immortal-level companion to the D&D Game and the D&D Rules Cyclopedia, all of which are the successors to the Basic / Expert / Companion / Master / Immortal Set series.  Yes, it's quite confusing.  It contains a 128-page rules book, a 96-page adventure book, and two full color maps.  The working title for this set was "Lords of Creation", and it was originally intended to be the "Master"-level set.
 

Printing Information

There are no differences in printings of these sets, other than the minor printing difference noted below for the Companion Rules.

Subsequent versions of the Companion rules and Master rules were incorporated into the D&D Cyclopedia (and later incarnations); the Immortals rules developed into the Wrath of the Immortals Set.
 

Set 3: Companion Rules

• First:  Product Code above the UPC symbol on the back ends in "1200".
   
• Second:  Product Code now ends in "1350", denoting a price increase.  Thanks to Michael Deaton for this info.

Set 4: Master Rules
Set 5: Immortal Rules

Thanks to Adrian Newman for the scan of Master Rules, and Kurt Lupinsky for the scan of Immortals Rules.
 

These sets are fairly common.
 

Set 4: Master Rules

Set 5: Immortals Rules

Wrath of the Immortals