Played through on normal, then heroic then legendary. It's more fun that way and increases replayability.
As far as the earlier games, I think you should give them another chance. Playing through Halo 2 on legendary is not only extremely challenging, but also really entertaining. It forces you to really slow down and plan out all of your attacks, and in turn you grow to appreciate more subtle aspects of the game. Halo: CE gets slightly repetitive but is still very much fun for all of those reasons.
[Edited on 04.21.2010 1:30 PM PDT]