Well, it really depends on what you're looking for in a shooter.
The Resistance series has a lot of interesting and different kind of weapons, like the Hailstorm, which fires projectiles that richochet off surfaces or the Auger Rifle, which penetrates solid matter. The mix between traditional weapons and alien weapons is pretty great. Killzone is a lot more traditional here, even if there's still plenty of different weapons to choose from. Lightning gun from KZ2 is amazing, though.
Storywise, ingame at least, I'd have to say Resistance wins. Setting the game in the 1950's and discovering the origins of the Chimera, as well as who Hale(the PC) is, is a fascinating story. Killzone's ingame story is a bit lacking, sadly, I wish they'd somehow implemented the backstory more into thbe main game, because the back story is really where the meat is, of the Killzone universe is. The Helghast really aren't as much the bad guys as they're depicted in the games, imagery and culture aside. There wery more forced to become like that, than anything else.
In multiplayer, at least for me, Killzone wins out big time. I've spent many hours in both KZ2 and KZ3 multiplayer. The level design here in these maps are some of the best I'e ever seen and because of the Warzone mode, which is the one I play the most, the action on each map moves around as a new objective is selected. Warzone consists of 7 randomized objectives, including capture the flag, capture and hold, assasination, search and destroy and deathmatch. I only really played Resistance 2 co-op multiplayer, but from what I played, it was pretty fun. It was a lot more straightforward, seeing as objectives came in the same order each time, so it did become a bit more repetitive, than the KZ multiplayer.
So, as I said, it depends on what you're looking for. I'd personally go for the Killzone series, because I've really, really enjoyed the multiplayer of both 2 and 3, but if you're looking for a solid singleplayer experience, I'd say go for Resistance first. That's not to say that Killzone is a bad singleplayer game, far from from it. The AI in the game makes for a very hard opponent and makes the firefights really
really intense. The Resistance series just have a more interesting weapon set up as well as a decent ingame story.
As for KZ1, get the entire
trilogy, instead of buying them individually. Actually, the same can be said for the Resistance
trilogy.