Killzone actually has one of the more interesting and original settings, with the Helghast being off-shoots of humanity and all that. It's a very gritty and brutal world, which kind of draws you in. People have different tastes, but I honestly find that more compelling than aliens.
KZ3 is flat-out gorgeous. I loved the snow zones and the arctic platform levels so much. However, if I had to offer a criticism, it would be that a bit too much of it takes place in corridors and the vehicle sections can be forced and annoying. I also liked the MP a lot, despite not being a MP person, generally speaking.
I'm also very excited for KZ4, considering how KZ3 ended. There is so much potential there. I hope it goes in the direction that it seems to be heading. No spoilers, but I want things to turn from bad to worse.
Also, the upcoming Vita game lets you fight the ISA. That by itself makes me want it.