STALKER is in my opinion the most interesting new series to emerge from the FPS genre in the past few years, and it's a quintessential PC game; A bit rough around the edges, but unique, so it stands out among the many bland military shooters that saturate the genre nowadays. The games also have a vibrant modding community.
Shadow of Chernobyl is the first game in the series, and a good place to start. It's a little buggy and hasn't aged so well graphically, but there are a wealth of good mods for it. If you get this game, I strongly recommend the Complete 2009 overhaul [http://www.moddb.com/mods/stalker-complete-2009] (soon to be updated, hence the 2012 banner), it touches up the game in a multitude of ways (especially sounds and visuals, which are vastly improved) without changing the fundamentals much, making it ideal for a first playthrough. This is a gameplay video I made of it some time ago, I think it's a good example:
Clear Sky is a prequel to SOC. I found it to be pretty hit and miss, to be honest. It's buggy and parts of it feel outright unfinished. Give it a miss unless you're already a hardcore fan of the series.
Call of Pripyat is the sequel. I think it's the definitive STALKER experience. The gameplay is more refined and well balanced, the engine less buggy than the other two games, the quests more interesting, and it hasn't lost any of the atmosphere that made the first game what it is. I'll let the trailer sum it up.
It's a toss-up between Shadow of Chernobyl and Call of Pripyat. The former has better mods (at least for now), but the latter is a better experience out of the box.