There's not any significant connection to the stories between each release, apart from the two main characters, as far as I remember. You could play them in any order or you could skip any of them and it would still make sense.
Yes, the first one is the best but personally I enjoyed all of them and I recommend them.
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"Sometimes when you do things right, people are not sure you've done anything at all." -- God (Futurama)
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