I enjoyed Halo 1 and 2. 3 was okay, but it just didn't have the feel that the previous two games had. Also, to me, all the weapons, worlds and enemies/allied in 3 felt and sounded like they were literally made of plastic. Dunno why.
Halo 1 is my favourite in terms of gameplay. You know that scene at the beginning of "The Silent Cartographer", where you and some Marines storm a beach? That was my favourite moment in any shooter, ever. It felt right. In the Halo 2 "making of" DVD, one of the developers said something like "making a good game isn't about making the whole thing fun, it's about finding 30 seconds of gameplay that are fun and doing that over and over again". Halo 1 nailed that.
I enjoyed Halo 2 as well, with the introduction of new enemies and weapons. The Battle Rifle and Energy Sword both hold a place in my heart, and I was pissed off when they removed the BR in 3 and nerfed the Energy Sword to near-uselessness.
There was a lot of fun moments for me in 2 - not as many as in 1, and there certainly wasn't another awesome "storm the beach" moment, but the Scarab was almost as good (not to mention Earth City, one of Martin O'Donnell's finest pieces!), and the first two Arbiter missions are among my favourites.
Which reminds me, the introduction of gameplay as The Arbiter, which I hear was quite a controversy for many players, was very interesting to me. While the gameplay itself varied little, I quite enjoyed the unusual environment and supporting characters.
Halo 3 was my least favourite. It felt like it had taken all the good bits of the first and second games, changed them so that they weren't good anymore, and mashed them all together. Also, nerfing the weapons was a BAD idea.