my opinion:
Aliens was by far the best. Loved everything about the movie. But as mentioned, it's more of an action movie, than a thriller/horror movie.
Alien was great as a horror movie. But I can never seem to get through the middle of the movie without falling asleep.
Alien3: I really enjoy this movie. Unlike Alien and Aliens, I seem to be able to watch and enjoy this movie all the way through. I think that a lot of people who harp on the movie do so because most people, like me, wanted to see more Colonial Marines (b/c they were super cool). Regardless, Alien3 really was a great peice of work. I can't say much more than that.
my order of preference would go:
Aliens
Alien3
Alien
....
Alien Resurection (loved the villainous crew of Han Solo's, they were all mint, but the whole idea of cloning ripley because her remains contain alien DNA was stupid, it changed everything. It was an entertaining movie, but I don't know what crack pot came up with the narrative)
instead of Alien Resurection, I would have opted for the Aliens Genocide plot line from the comic books wherein scientists had discovered that the goo in the queens egg sack was a crazy performance enhancer. So a specially outfitted crew of Colonial Marines was sent to the 'alien homeworld' to harvest the purest form of the goo. But when they arrive, they realize that there are now 2 different breeds of alien on the planet, which are about to go to war (insect war) and our poor humans are caught in the middle. Twas a good story, and a great comic at it's time