Bioshock 1 without a doubt for me.
The first one was excellent and unique in every single way.
The second one improved upon everything except the story which I thought wasn't anywhere near as good. I should also point out though that I never finished Bioshock 2
The third one I thought was going to be the best but the world and environments just weren't as unique as the first two nor was their atmosphere as good. That really killed the game for me. The story was decent all the way through until the end where it became purely brilliant.
Bioshock 4 should take place on the moon. That would have some serious potential. Either way, I can't wait for next gen Bioshock.