I honestly can't decide between Mad Max and Road Warrior for first place. I could write a veritable novel singing Road Warrior's praises, and it'll always have a special place in my heart as it was my first exposure to the series.
The older I got and the more I revisited Mad Max, though, the more I came to find its pre-apocalyptic setting more and more compelling, with its pervasive, creeping sense of doom, a society that's still barely holding together but slowly and inevitably coming apart at the seams, and nothing but a few heroic fools like Max and Captain Fifi trying to stand against the irresistible tidal wave of chaos. The fact that it doesn't feature Road Warrior's (admittedly brilliant) junkyard-tribal aesthetics, which have since become synonymous with the genre, is actually a plus in my book at this point.
Thunderdome, on the other hand, was a sadly missed opportunity. To its credit, it actually felt like Max had moved on as a character from Road Warrior, and Auntie was by far the most interesting and nuanced antagonist in the whole series, but its tone is too cartoonish and kid-friendly from the second half on. I still maintain that if they'd kept it consistent all the way through, and then ended the story by having Max give his life so Savannah and the others could escape (an act of ultimate selflessness) or else joined them and helped them rebuild, replacing his lost family with a spiritual one, it could have been the best out of all three.
So, yeah, TL;DR, I guess my ranking would be
1. The Road Warrior
2. Mad Max
3. Beyond Thunderdome
With 1 and 2 being largely interchangeable, and a significant distance between them and 3.
The Furious Furiosa films don't belong to the series in my mind, and never will.
The Road Warrior is a masterpiece of 80s action cinema, but also a very interesting updating of Western movie tropes to a post-apocalyptic of Australian future. Everything about the film is satisfying, and Miller reaches Sergio Leone level mastery of storytelling.
Mad Max is an above average Ozploitation biker/post-apocalyptic film. It is a lot cruder and less well-placed film than Road Warrior, but is also interesting in its use of Western tropes, in this case the Revenge Western. If you can get passed the exploitation aspects and moderate pace it's still an amazing film for a first time director.
Beyond Thunderdome starts off well, but veers off course with the Island of Lost Children, and the finale feels like a parody of the classic tanker chase (this time a train and lots of feral kids to protect instead of just one) from the Road Warrior. A disappointment with some good scenes, especially in the first half.
Fury Road brings back the austere, laconic tone of the Road Warrior (and an R rating), which is welcome, but somewhat misses the master storytelling of Road Warrior, relying exclusively on one long extended chase scene with not enough humor, or memorable dialog or characters.