Yea, the books also, it's hard to recognize the worthiness of reading the first 2, until after you've read the 3rd and see how the story has all that foreshadowing. The 3rd is where the story starts to change and become more adult, even though the kids are still 3rd year students (IE: 13/14), but, you see quite a bit of what was set up in the first two books coming out in the open.
One cool thing about the first two movies, is you're seeing the movie through Harry Potter's naive eyes, all the bright colors, magic everywhere front and center. In the third movie, as the series starts growing darker, and Harry Potter is more acclimated to the Wizarding world, you see the colors toned down, you see the years of damage to the walls of the school, the magic is not on display so much, so, it's like you're growing up in the Wizarding world as well. And of course, it all grows from there with each passing book/movie