Well, I'm mostly trying to play a series in order, however sometimes it's just can't happen. For example I didn't hear about the Jedi Knight games until Jedi Knight II. - Jedi Outcast came out. That was pretty much my first Star Wars game (along with some others, I got 3 Star Wars games at the same time for my birthday). After that I played thorugh Jedi Academy next year, when it was brand new. And later, I started to go backwards, since I wanted to experience the whole series. It was the same with the GTA games, Vice City was my first one, I only played through GTA III, when I was finished with San Andreas too. Which isn't a bad thing really, since GTA III's events are taking place years after SA. Also, my first Elder Scrolls was Oblivion, and my first Fallout was New Vegas.
As I said, I prefer to play games in order, but sometimes you just simply miss, or ignore a series until a certain episode. Anyway I don't really mind if I have to play an older game, as long as it has a good story, interesting characters, and fun gameplay.