It's better play all the games in sequence to understand better the plot or can I jump directly to 3 and then comeback to others ? 

Yes play them in order.

Absolutely.

The first has the best campaign of the three anyway.

Well, yes, but the story is kinda meh without the non-game stuff - other than a couple key points in the first game, which are A-MAZ-ING back in the day when I knew nothing about the Halo universe. The books and stuff help A LOT to fill out the info.

I played Halo (finished it), Halo 2 (played about 60 percent) and finished Halo 3. I went back and played Halo 2 - finished it and was disappointed. I was like 'This is it?' There were some fun elements but as stated earlier, play them in order.