As a fan, the first one is probably the best. I feel that Kratos' character really dropped by taking him from this tragic character to a very successful but incredibly rage induced one dimensional psychopath in the II and III.
I'm really glad that he's been dialed back and given purpose with GoW 4 and I may even get a PS4 just to play this one.
I most definitely agree with you, you really become engrossed by the deep complexity and emotion of the character in this game.