How to check all the commands executed in a Linux server?
The short answer is no.
But it might be possible by looking at the .bash_history under the user folder, but keep in mind that user can clear their history by using "history -c" command, or they can delete the file manually.
If you want to force logging on all user, what you need is called "process accounting".
See a more comprehensive howto: http://tldp.org/HOWTO/Process-Accounting/