I was referring to the first, but yes I did play all three, and the third was the weakest in the series, I generally liked the characters more in Covenant, but I prefer the dark atmosphere of the first.Which one (assuming that you're referring to it as a series and not the first game within the series)?
The only Shadow Hearts that I've played was Covenant, and if you're asking my personal opinion, I'd say it is pretty good. The RPG genre has pretty much been a lost art since the end of PSX, PS2 did have a few saving grace titles and thankfully Shadow Hearts was one of them.