The entire series is absolute outstanding story-telling. Stick with it and you'll get an eminently satisfying experience across all three. The build-up is a slow burn in any of the three titles, especially in the first one when you have no idea what's going on, but it pays off big time.
The choices you make in ME1 carry over to ME2, and the choices you make there carry over to ME3. There's a lot of character development - you can get to know your squad mates well (even 'closely' in some cases, nudge nudge), and take on missions pertaining to them to increase their loyalty and unlock talents, as well as story plot points you wouldn't otherwise see.
ME3 caught some flak upon release for having an awful ending, but I didn't think it was that bad. A little unsatisfying considering the massive marathon I'd been put through over all three titles, but still, the choices available were understandable given the storyline. Still, EA ended up doing a massive patch to ME3 to 'fix' these concerns people had. I never played ME3 to that point so I don't know how those end choices changed.
I've played them numerous times - in fact I was re-playing ME1 and ME2 late last year. I'd intended to go into ME3 fresh to see what those new endings offered.
I'll be having this at some point, I'm sure.