Hands down, and here's why:

Sly Cooper and the Thievius Raccoonus
Played mostly as Sly, on a mission to recover stolen parts of the family book, the Thievius Raccoonus, which contains all the secrets learned and/or developed by the Cooper family over the years. Fairly linear game, but extremely well-executed nonetheless.

Sly 2: Band of Thieves
This time it gets more sandboxy, and you can usually play as any of the three members of the gang at any given point. You do end up playing through every major sequence, regardless of character, even when they're happening simultaneously. Essentially, the characters will all be at the rondezvous point, and you take one of them off on his own way. When you finish that mission, time warps back and you pick up the other character(s) to do that side of the quest. Lots of stuff to do while idly wandering around, such as yoinking various treasures around the maps, and finding clue bottles which, when you find all of them, allow you to unlock a secret safe somewhere else in the level. The first game had the clues as well, but it was much more structured and fairly easy to do. This game made it much harder, because you had only audio cues to go by, and a whole map for them to be on.

Sly 3: Honor Among Thieves
You've learned of the Cooper Vault (which you previously had no idea of), but someone else has already turned it into their stronghold. Your initial gang won't be able to make it in alone... so you go wandering around for new partners, two of which come from previous games. They removed the clue bottles from this one, which was rather a bummer, but the game execution itself was nothing short of incredible. Once you learn how to maneuver with Sly, you can pull awesome stunts very fluidly. The trilogy as a whole is a story, and this game does a flawless job of wrapping it all up, along with a fun little twist that you may have figured out over the course of the games.

All three games look and feel very similar, which I think contributes to the series. It feels like one long story, and once you play through the first level of the first game, nothing else feels uncomfortable. The controls stay pretty logical through all three games, even with the new characters in the third one. There's a fair dose of slick humor sprinkled throughout the game, and some moments that are just plain supposed to be funny. Others are quite serious, and the final battle was actually pretty damn hard. The cool thing though, is that every boss in every game has a consistent weakness. Sometimes it's easy to spot, and others, like the last few bosses in the third game, it's not quite so easy. However, once you do figure it out, it's typically a matter of staying alive long enough to defeat the enemy.

I think I'd have to give the series as a whole a 9.5 out of 10. Extremely well execution, but a couple little misses in the third game that could have solidified Cooper's legacy as one of the best stealth games out there. For anyone interested in that genre and owning a PS2, I would strongly recommend playing through the games in order, and play them all to completion. It's so worth it in the end