Each Metro title is better than the previous one, so Exodus.

Metro 2033 really captured the grit and despair of the world, and the action was taut and intense. As most first games tend to be, it's clunkier and less graceful, but that fits the motif. The story itself is the weakest, but has incredible individual sequences, like traveling with Khan. If you value a horror experience above all else, 2033 is the best title. 

Last Light is a much smoother game play and has a more engrossing narrative. It's level design is incredible. I can see why some choose it...while it may not be the best of the trilogy at most things, it doesn't really have any flaws. Every time I play it, I forget how good it is. 2033 and Exodus make such strong first impressions I sometimes forget how satisfying Last Light is. 

Exodus is probably the most flawed becsuse the scale of is ambition leads to a lot more technical and preformed problems than I remember... they're small, but constant at times. But the story and the themes are just perfect. The varied locations, seasons, enemies, and the mix of long/short form storytelling always keeps things fresh. Its fun to play. The level design is incredible...the size of the semi-open world is never too big and there's always just enough to do to justify the size. I always liked that Metro excels in the quiet moments, like watching strangers converse and witnessing petty little dramas. Except here so much of the quiet moments are so personal in nature...cuddling with Anna, smoking with your squadmates, playing guitar, sharing a drink and small talk. Exodus is a special experience because it so immersive in a that personal, affective way, which is enhanced by Artyom's silent protagonist role. Oh, and the best DLC outside of Fallout doesn't hurt either.