there is no one thats better than the other, you can view it as a 9 hour long movie. its not like oceans movies or anything. the movies just continue where the latter left off
Most people consider Fellowship of the Ring to be the best one.
Sure, it's one story, and less standalone than Ocean movies, but that's like saying that Empire isn't the best Star Wars movie because the original trilogy all goes together.
And before you even bring it up, I looked on Rotten Tomatoes, and Fellowship is actually the lowest ranked (Fellowship - 92; Two Towers - 96; Return of the King - 94)....I don't even care....

The sequels simply have major flaws that Fellowship didn't have (Like Lil Dice said, fukk was up with that RotK ending?) are borderline boring, and ancedotally most people don't fukk with the sequels like that....
Edit : To be fair, I've never actually seen the extended editions. I've caught parts of them on cable and stuff, but never sat down and watched them all through.