Saw Shaun of the Dead first, and it's my favorite as well, I liked Hot Fuzz, but it's a slow starter, only about half the movie is actually fun.
The World's End I stoped watching early on, still at the party, because it was just so awkward and boring, it wasn't funny, it just made me cringe. It probably gets better after that, but it made me actually hate the beginning so much that I couldn't be arsed to see it through. I don't like cringe comedy, it's why I also couldn't get into Pegg's TV-series Spaced.
Paul is amazing though, better than the whole trilogy imo.