The first one by far.
It had the best story, characters, drama....best everything.
I also loved the diversity in Y1&2 like fighting on a moving truck, inside dungeon style locations, fighting tigers!!!
Yakuza 3 had the weakest story in the series & wasn't as diverse as the first two gameplay wise (with the high
dev costs this gen i understand why), but it had the best fighting mechanics.
Not to mention Y3 didn't have enough Majima 
Y3 is my least favorite in the series (still awesome tho & my ps3 Goty)
So in short:
Yakuza 1 > Yakuza 2 > Yakuza 3 > nen-suer
You really should play the first two.
I'm currently on the hunt for a copy of Kenzan. Hopefully i will be able to find one soon.
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