play MTW first, that way you won't get let down by the graphics that RTW has.

That is my advice,

I had bought RTW before I bought MTW, since everyone here kept on saying it was so much better-and MTW was for sale for about 5 euros :D

I bought MTW , installed it, patched it, and played it , but the graphics turned me down , nothin gnear the eye candy RTW has.
However, in the end I played MTW just as much as I did Rome, when the eye candy doesn't bother you anymore , you'll appreciate the gameplay and strategy part where in MTW exels in.

Can't comment on STW , since I haven't played it.