For me, the first one is still the best, and the only one where I've played the campaign multiple times, including beating it on Insane. Also, playing Warzone/Execution was awesome especially when you had 6-8 buddies to play with. It was really social, it wasn't about ranking up and leveling up or whatever like the subsequent games became. Sure, it didn't have Horde and that was an amazing addition to subsequent games, but overall I still prefer the first game.
Gears 3 for sure. It was the peak of everything IMO - Horde was the most polished. The multiplayer at its best. The campaign offered a satisfying ending to the original trilogy. It remains my most played Gears game. If I had to rank them:
Gears 3 - By far the most complete game of the series. Gears 1 - The original is a very close freaking second. Gears 2 - The story was very satisfying. Gears 4 - It was a nice revamp of the series while retaining what made it so good. Judgement - Like Gears 2, The story was satisfying but everything else was kind of eh. Gears 5 - By far the worst game of the series as it offers nothing unique and seems to strip away more than what it adds.