There many ways to implement this as other guys gave you a few solutions. Selecting the right choice deponds on how good you are at Drupal, which fields do you want to filter on, ... .
Searching and filtring on field collection is an almost complex process. The group views by fueld collectiongroup views by fueld collection is an example of it. But it has the advantage of easily inserting the content. By this moduleva package of fields come together as a one unique field. It is nice.
Using entity module is very good, by this module you will need to create two content types, and link them using an entity field. Searching and filtering is easier than field collection solution.
You can also use Entity View Attachement module which assigns a view to a node. In this case nodes are Series and you assign a View of episoded to them
Anyway I recommend you to use entity module because of it's flexibility in filtering, searching, new requirements in the future and ....