I have all three and can say from experience that they are fantastic. The graphics are truly unique with an interesting twist on the characters. Being a group of theives all for the sake of "good" is an interesting idea in a genre where being bad or doing bad things is the new good.
If you want to play, you'll want to start from the begginning as all three are related to each other. The events from the previous game affect the new one in both Sly 2 and Sly 3. It's not completely necessary to play through them in order, but it does help a little bit.
In my opinion, the Sly Cooper series is one of the most under rated series on the PS2. It should be mentioned along side games like Jak and Daxter and Rachet and Clank, but often gets left out.
Pick them all up and enjoy.
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