Historically, first chemical compound of a Nobel gas was xenon hexafluoroplatinate or Xe[PtF6], which was discovered by Neil Bartlett in 1962. It is worth to say that its crystal structure is not determined yet and it could be easily prepared from the mixture of gaseous xenon and platinum hexafluoride vapors.
There is also a group of xenon fluorides, which are extremely important due to their oxidative properties and also as the precursors in chemical synthesis. One can easily note that XeF2 is the most intensively used xenon fluoride.
There are also different xenon oxides as XeO2, which crystal structure was determined some few years ago. Another oxide XeO3 is well known for its detonating properties. Contrary to xenon fluorides, xenon oxides cannot be prepared directly from xenon and oxygen (at least under normal conditions).
Finally, the diversity of the other xenon compounds were prepared and characterized (Na2XeO4, XeF6, [XeF][PtF5], [Xe2F3][PtF6] etc).
Chemical compounds of krypton Kr are much rarer than those of xenon. Probably, KrF2 is the most important krypton compound so far. There is some information as for the radon Rn fluoride. However, this element is radioactive and its fluoride would be rapidly destroyed by emitted radioactive particles (mainly alpha-particles).
Unfortunately, helium He, neon Ne and argon Ar, does not form any kind of chemical compounds in a classical meaning of that term. There are some clathrates of argon with water, methane etc. Their ionization potentials are too high to be reached with the ordinary oxidants.