You must watch the first two before you watch Part 3. Highly
recommended series.
Personally my favourite out of all three is Part 2. Because it
really capture the feel and atmosphere of the time the film was set
in and like you watch already you understand better why the
character became what they become in part 1.
You also get to see another side of characters, like you see
Anthony wong inspector character is not as clean cut as he seems to
be and Eric tsang crime boss character has a good side to him as
well.
The one i hate was 3, it seem to be filmed too rush and the writing
was poor. If you want to get into the series, you can watch 1, 2
and 3 or even 2,1 and 3. Just understand
Part 1 is set in 2002
Part 2 is set in 91 to 97
Part 3 is mix of 2003 after Part 1 and 2002 the days leading to
Part 1