If you intend to play them all, the only option is Returns > Dragonfall/Hong Kong. Returns is the first game in the series, and mechanically you will notice this. After you play the more refined sequels, you won't be able to go back, so be sure to play Returns first. Though if you don't mind on missing the worst game, just play HK and Dragonfall in whichever order. Dragonfall is the best due to how tight the campaign is, and though HK doesn't match Dragonfall's heights, it is still a fine adventure.
In spite of all I've said, all three have good writing. Returns, as painfully linear and clunky as it is, still manages to suck you into Shadowrun's world. Although Dragonfall and HK are where they really make the companion characters, roleplaying aspects, and story shine, on top of being much better games overall.
And yeah, do note that although they're all set in the Shadowrun world, none of them are directly connected. There will be references, but they are brief.
Play them in chronological order - they are all worth playing.
In terms of quality though, the ultimate ranking is:
Dragonfall > Returns > Hong Kong
All wrong. Returns is the worst of the bunch of by a country mile, which makes HK second best by default.
No question that Dragonfall is the best, though. Everything comes together in that game in a really magnificent way. It's one of the best RPGs in years.