Īlways start with SoC, and then play either of the other two in any order (usually in the order of release). If you only want/have time to play one of the three, Shadow of Chernobyl is still the recommended one to play, because (spoiler-free) the other two carry on with a certain game element that assumes past plot knowledge, and feels awkwardly (and possibly annoyingly) unexplained without experience of SoC.
SHADOW OF CHERNOBYL COMPLETE ARSENAL HOW TO
The Low Spec Bible: How to play S.T.A.L.K.E.R.
SHADOW OF CHERNOBYL COMPLETE ARSENAL FULL