There's sort-of a continuing thread of a backstory/atmosphere/worldbuilding throughout the first three games, but I don't think you necessarily need to start at the beginning. That said, if you think of the first game as a sort of tutorial/immersion for the style of gameplay, puzzles, and universe for the whole series, it might be helpful to pick up that one, at least. The second game picks up and expands on the first a lot, etc.
I'll also add that, if you were ever a fan of the Myst series, you will probably feel right at home playing this series.