This seems like a particular want that may involve some digging or compiling on the part of those interested. I think, generally, most folks can see a set and know its source material without feeling the need to compile such information into lists. That said, Bricklink
separates sets by Episodes 1, 2 and 3 individually and then groups all OT sets by the category "Star Wars Episode 4/5/6." Oh, and there are separate categories for "Clone Wars" and "Other" (i.e. EU) as well. So, there's a start.