I'm replaying Sly 3 right now but I'd have to give my vote to Sly 2 as my favorite in the series. I loved the exotic locations and collecting bottles. Dancing the tango with Carmelita rocked. It's a bit on the easy side but still fun. The drawback is there aren't any extras like movie clips or gallery pics that you can unlock if you achieve 100% on all the levels.
OTOH while I like Sly 3, I found it a bit hard on some missions. I can't do the Master Thief time limit challenges because I'm not that fast. I also wish there were some bottles to collect because I'm good at prowling around and hunting for secret items. That's more fun for me. :)