The first one starts the saga, the second was the best and the third makes a partly decent partly botched ending for it.
Get at least the first two. The second really is the best but to get everything out of it, you need to play the first thief game for the story.
EDIT: The second game has refined gameplay mechanics, more intelligent AI and better mission overall. The third one has a storyline from hell and an eldrich abomination as a final boss. The open city as a nice plus but it wasn't implemented too perfectly. Thi first game, well, is the first, the start of the story and one of the first 'sneak in, no killing' games made.
The difficulty sliders were nice in the first one and if I remember, also on the second one. Gank it up to hard and 'you fail the level if anyone dies' (or sometimes from merely getting rendered uncounscious)is pretty much one standard victory condition...