The first one is clearly the best, thought frankly I still can't tell you whether I like it or not. Saw it at the cinema and was a trifle unimpressed, but then saw it again on TV and remember liking it a lot more, but the last time I tried to watch it I found it really terrible, so go figure.
The second one is terrible though, just a big computer game with a pointless rave and cod philosophical BS thrown in. The third is more of the same yet I like it better, partly for the battle for Zion, but also because it's so unintentionally funny in places, in particular the bit where Neo doesn't realise Smith has downloaded into one of the humans, despite him calling him Mr Anderson, something only Agent Smith does! Plus of course Keannu 'thinking' his way out of the subway station, and Trinity's never ending death scene.
On the whole though there's something about the feel of the films that disturbs me. I don't hold with cinema being to blame for violence in society, don't hold with censorship for censorship's sake, but there's something very unsettling about the Matrix. It's supposed to be about freedom and individuality and not being a drone, yet what do they all do when they jack into the Matrix? They all dress pretty much the same and all affect the same emotionless demeanour, dehumanising themselves, and obviously dehumanising the people they kill because, well they're not really killing them are they, they aren't real.
Probably the one character I could empathise most with in the films is Joe Pantoliano's in the original, he's the only one who isn't a blank faced Terminator.