great movie, 2 and 3 are also good?

The second movie is excellent, though a bit different from the first. Unfortunately it lacks Tony Leung since it is a prequel to the first movie and his part is played by a younger actor. It adds more back-story for Lau and Chen (much of it also used in The Departed) and focuses primarily on the relationship between the younger Inspector Wong and Sam, played again by Anthony Wong and Eric Tsang (though some of the incidents and characterization seem to contradict the first film).

I haven't seen the third one in a while, but it is very different from both the first and second films. It is a direct sequel to the first movie and does include Leung (don't ask, it requires spoilers). I didn't really care for it the only time I saw it, but it is definitely worth watching if you are a fan of the first two pictures.

Infernal Affairs 2 is a pretty good movie, a modern Godfather-wannabe with a very "entertaining megalomania". On one hand, it lacks the powerful simplicity of the first one (and the tandem Tony Leung/Andy Lau...), and doesn't really has the means of its ambition (the movie sometimes looks like the 2hrs long trailer of a gangster saga, with many seducing aspects that make you think of how brillant it would be if it was developped), which explains why this sequel is very criticized. But on the other hand, it has a five-stars casting (no Tony Leung nor Andy Lau, but the always spectacular Francis Ng and Carina Lau), a photography and a cinematographic space as good as the first movie's, a great score (which culminates in the end, with Eric Tsang's last scene)... all these things that make the movie's a little bit shallow but irresistible charm.

The third one brings back Andy Lau, which is a good idea, but plays the psychological/paranoid card, with a disturbed Andy craving for redemption since Tony Leung character's death. That third movie also has high ambitions, and also misses his aim because the filmmakers ain't De Palma or Polanski... only this time, it doesn't have much to compensate for these flaws. Still, it's and interesting movie to watch after the first two. Both are worth it.

If you like that kind of HK thriller, I would advise you to watch another Andy Lau movie, the very underrated Jiang Hu, with Jackie Cheung, another great HK movie star.

Yes i would watch all three. Yes ok the 3rd film cant stand on its own, unlike the 1st film but i consider all 3 films as one film. Its like Lord of The Rings. Its not 3 films, its 1 film cut into 3 parts, and the 3rd part wouldn't make any sense on its own. For me Infernal Affairs 2 and 3 made the story so much better, better than if there was only the 1st film. For me the 1st film was ok, but after i watched all three it became one of my all time favorites.