During the series we got to see lots os ghosts, Sir Nicholas, Bloody Baron, Moaning Murt. But James, Lily, Dumbledore and Sirius are dead and we have never seen their ghosts in the movies. Why?

Because they didn't turn into ghosts. Nick explains in the fifth book that you become a ghost if you fear death. As Dumbledore, Lily, James, and Sirius didn't fear death, they simply moved on after they died.

You only become a ghost if you fear death. None of them feared death, so they all moved on.

Have read the books or just seen the movies? Because I dont want to give away too much but I would wait for part 2 of Deathly Hallows....lets just say...Harry "dies"...and in the forest he sees James, Lily, Sirius and Lupin. In this Limbo like area he meets Dumbledore. And in Part 1 we saw this sort of ghost-like Dumbledore in Grimmauld Place. Plus when Voldemort and Harrys wands connected " imprints" came out.

James and Lily have to been seen in the movies. In GOF.

Allot of the ghosts you see in the series were at Hogwarts anyway. None of those characters died at Hogwarts, which is were you see most of the ghosts.

Alright, these are not ghostly appearances yet Harry's parents are shown in the Mirror of Erised in the 1st movie. They also appear as such in one of Harry's memories in the 5th movie, during Occlumency lessons.

Lily and James also appear in the 4th movie as a reminiscence of nakaraan spells during the Priori Incantatem, which is some sort of "wand memory". This time, from Voldemort's wand as they had been killed with it. They are some kind of echo but in the 4th movie, that scene is very powerful in my opinion, and served sa pamamagitan ng an emotionally intense music.

Not ghosts because they are not tied to this earth. Yet, still there and very present for their son.

As for the others... read the Deathly Hallows and you'll understand. I hope they will put it also in the movie. Can't wait !

they did not fear death but they do come back to talk to Harry in the 7th book for a bit i do not know if it counts

When they died, they chose not to become ghosts.

James, Lily, Dumbledore, and Sirius left with their mission complete. They all kept Harry alive.
Nick was scared
Baron was guilty about...(okay, i won't tell)
Murial? Oh, she just wanted to haunt someone