Legend is the best of the three. Enjoyed it a lot even when I replayed it years later.
Anniversary can be quite frustrating the first time you play it, especially some of the action sequences. My second playthrough was easier, but somehow the game still wasn't too much fun.
Underworld can be fun the first time around, though when I played it for a second time, I felt it was inferior to Legend.
Unfortunately, neither amazon, nor gamersgate offer drm-free versions of the game. They either have securom or, in amazon's case, offer you a steam key.
To sum it up, the games can be quite fun if you've never played them. Only Anniversary can be disappointing at times, but your mileage may vary.
I'd recommend getting them if you haven't, but I don't know if drm will be a deal breaker for you.