I would advise you to get the last STALKER game, Call of Pripyat. It's the best one in my opinion, and there isn't much continuity and lore so you can jump right in. The first one is great, too. I just don't really like the second one.
Ok, so why would you play it? The Atmosphere. It's an incredible game. You know what? Let me tell you a typical STLAKER story.
I was on my way back. I had a few artifacts in my backpack I wanted to pawn off - to get that sweet assault rifle I wanted. It was night - and night in STALKER is terrifying. Every monster is a challenge. I was already paranoid - I had installed a mod that made the nights even darker, to the point of realism. I needed to get back to the Stalker Outpost in that derelict ship, or this would become unfriendly.
My radio suddenly crackled. A transmission. An emission was coming: a wave of energy that kills everything human exposed to it. They happen every once in a while. This one could not have picked a worse time - I was way to far away from the outpost to make it back in time. I had to take shelter in a building or cave, or I would get fried.
I looked on my map. There was a building close, but I had never been in there. No idea if it was safe. No other option, though. I made my way inside to wait out the emission... and it was terrifying. There were noises, and every one of them made me almost pull the trigger on my shotgun. I was sitting in a corner, one eye on the window to see when the emission was over. Was that one of these cloaked bastards right over there? No, just my imagination.
In the end, I wasn't attacked during the emission. Nothing came for me. I, however, found out that the basement of that building was a nest for monsters.
So yeah, I love it. Don't go off reading the Wiki, you want to find out everything yourself. Being forced into a building with a bunch of Bandits because of an emission is super tense. The monsters can be frustrating. But everything oozes with atmosphere, with that unique feeling of russian/ukrainian after-the-end art - pessimistic, but always with a glimmer of hope and a good dash of mysticism. The emergent gameplay is the star here, but the story itself (especially in the first STALKER) and the quests are good, too.
EDIT: Ok, I probably should also admit some of the faults. Everything feels a bit clunky and it's not the most visually impressive game. The third one also has almost no tutorial, so maybe you really should start with the first.
Damnit, now I'm going to install it again. Thanks guys. Come on, lets also mention Deus Ex, so that I have to install that, too!