I own them all but only played through 1 and 3 myself. I just downloaded the movie version of 2 and watched it. Honestly, I was planning on skipping out on Saga III altogether. You know, kind of cutting my losses while I was ahead. But the week before release the reviews were starting to say it was pretty solid, so I found and watched the the cutscenes of II the weekend before release. Wanted to get to III, but just wasn't motivated enough to go back and actually spend all the time playing through II.
That compilation disc of I was pretty handy as well. Got it with II, and watched it back then, but it was fairly thorough. Sure, they're not entirely comprehensive, but if you have access to the original two's cutscenes in some form, you can easily just read the database in III for a couple of hours to fill in the gaps. Hell, I used it for terms all the time because I just plain forgot. It was certainly a VERY handy reference guide. Xenosaga's just too convaluted a plot to be broken up in pieces to be released years apart, but that guide helps so much to refresh me on the details.