Shadow Hearts are some of the most heavily debated, love-it/hate-it games I have come across.
As for my part, I enjoyed the first game, though I found the storyline to wander or slow down too often. Covenant is my favorite of the series - I love the humor in it. Plus the game is so long it feels like you get two games for your money. FTNW was also a good game, IMO. It has the goofy humor from Covenant and I really enjoyed the atmosphere that existed in many of the areas (Chicago, Roswell, etc).
Every game was worth the retail price, as far as I'm concerned. FTNW is the most accessible. It is also the shortest. While Covenant is a direct sequel to the first game, they do a great job explaining the back story and you never really feel lost.