This is really difficult. It's hard not to say SH1, because in many ways -- pacing and atmosphere among them -- it's by far the best. Playing through the first time, there were so many moments where I was like Jack Burton in Big Trouble in Little China when he sees the flying eye monster: "My God, nooo...please, what is that -- don't tell me..." I just like the story of SH2 a little bit more.
It's weird; I was very paranoid about SH2 before it came out. I didn't see how they could continue after the end of SH1 (depending on your interpretation of what that ending means), but the game wiped away all of my doubts, even if it wasn't aesthetically quite what the first was. So much so, that I was expecting 3 to be even better. I had a lot of fun with SH3, and I've played it through 5 times so far, but it is by far my least favorite.