Prime is the best of the 'Prime' games. Metroid Prime 2 is still a good game, but nowhere near as well-designed as the first. Prime 3 is better than Prime 2, but still not as good as the first one.
Both Metroid Fusion and Zero Mission for the GBA are fantastic, however. Those are definitely two you must play.
Prime Hunters is only worth it if you can play a DS online and are really good at it. The single player game looks gorgeous but is pretty unremarkable. Prime Pinball is supposedly good... You know, if you're into pinball video games.