I usually try to play games in order if the stories are connected. If not, then it really doesn't matter.

Here's a wrinkle to the question. What about a series where you haven't played the games yet, and the next sequel is actually a prequel. Depression Moon's post reminded me of that.

Quote Originally Posted by Depression Moon
I played Metal Gear Solid 3 before any of the others.
Sure he played Metal Gear 3 first, but canonically he played the first one in the story.