I played the third one first and actually REALLY liked it. That was in 2006.
I beat the first game last year, and I'm going through the second one presently.
My feeling is, if you're not enjoying the games, just don't play any of them.
And if you're not a completionist, then ... yeah, just play Covenant. It has, as a mere *subplot,* the entirety of the Princess Anastasia (Romanov family / Rasputin) deal. It's awesome.