If you want to understand the story, then I'd say it matters. Play them in order, they are all awesome.I got it as well even though I have no idea if or when I will play it. But that's the fun of a Steam account!
Edit: Now owning all the Max Payne games but never having played any of them, does it matter what order I play them in? I'm guessing it doesn't.
I still think MP1 is the best of the bunch. That atmosphere is unmatched, and I must be one of the 5 people who liked the dream sequences.It sort of does, if you want a full understanding of Max's internal dialogue and motives you should play them in order. And from a gameplay perspective it would be hard to go back to MP1 after 2 because MP2 is absolutely superb.