3 is my favourite and I understand anyone going with 1, 2, Chains of Olympus and Ghost of Sparta as well.
1 has the most interesting and heavy atmosphere, the puzzles and environmental storytelling of the tale of Pathos Verdes III is to date my favourite environmental storytelling in games. It has the least convoluted plot, not the best, but its the only one that stands well as a standalone game. The combat isn't that good as the rest except Ascension and the platforming and some of the levels are moronic and Jaffe went way overboard with them. Its a classic but a flawed one at that.
2 is the longest game in the series and has the best story and the best side weapons. Its the biggest improvement in the series to date. It had lots of plot twists and improved puzzles and didn't focus on platforming as much which is great.
3 is the most badass game and has the best combat in the series. Its combat is among the best the genre has to offer. It has the best bosses and the best puzzles in the series. The story and ending were not good though. Its still among my favourite games of all time as are 2 and Ghost of Sparta.
Chains of Olympus gave me the most wondrous sense of adventure and the lighter tone of the environments makes it feel different and less brutal than the other games in a breath of fresh air. The Gauntlet of Zeus was a great new weapons and so good they incorporated it in GOW 3. It was the shortest though and the puzzles weren't good.
Ghost of Sparta has the best characterisation of Kratos in the series to date and a fantastic story next only to GoW 2. The Arms of Sparta are awesome and it had really good boss fights and was the first in the series to have an ally fighting 8 years before it would return in GOW. The environments were awesome. Its my favourite portable game of all time.