Bro, you gotta try them. I and II are good, but 3rd one (Deadly Shadows) is my favorite.
I was saving allowance and would go to a game shop on my way home from school to buy some new game to play. So, one day I went in and saw "Soldout" version of Thief collection (I and II). It was one of the cheapest they had and I picked it up and looked what is it about. To be frank, I disliked first person medieval game so I picked something else.
Few days later, my mom and I went shopping to a local mall and while passing by video games section I managed to beg cheapest game out of her. It was Thief Deadly Shadows. It had much better graphics than Thief I and II, and looked interesting.
Installed it and quickly I fell in love with the game. Graphics, sound, atmosphere, gameplay, voice actor for Garret... It blew me away.
I liked it so much I went back to that small video game store to buy Thief I and II but it got sold out... *ba dum tss*
Anyway, I highly recommend trying Deadly Shadows and I and II.
*Don`t think you can find Thief I, there is an improved version of it called Thief Gold.
Also, if you are running modern pc, you are gonna experience problems running them. There is forum which explains how to get them all working on modern pc, along with cool mods and stuff.