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pokoko said:

I've always been really close to pulling the trigger on Steam during random sales.  Is this a series where you'd suggest going in order?

 

I might be biased, as I really love this franchise, and found the first two games one of the most enjoyable games of the seventh gen altogether. That being said, I don't think it's a purchase you'll regret. Already convinced some people of this site to get them and they did like it.

As for your question, no, not really. There are references and some plot details shared between all games, but they pretty much work as independent stories (as you control different characters in each game). A lot of years (in-game) pass between each installment, as well. I don't think there's anything crucial that might get spoiled in future entries over past games, either, aside from some obvious things you could probably work out without much effort.

Try messing up with hats. They're the most hilarious things on cutscenes: