This is a great question and one that I've spent a lot of time during my life thinking about. Each movie, save V, has something that makes it great on its own.
Rocky-The underdog story. Yes we've seen the story in so many different ways, but I think Stallone does a great job of selling us on the story. He just wants to go the full 15 and he's willing to die to do it. By the time you get to the bout, you feel like you're watching and rooting for a real person.
Rocky 2-Creed/Balboa part 2. What's not to love. When they both go to the mat you're out of your seat yelling for Rocky to get up. And he somehow forces himself to stand on legs that are pure jello.
Rocky 3-This one's awesome because we get the Rocky/Creed alliance. I love seeing Rocky change his training when he goes to LA with Creed. Swimming laps and he's getting sore muscles that he didn't even know existed. One funny thing about the movie is that there's no way Stallone beats Weathers in a sprint in real life. I love Rocky's attitude during the final bout. "You ain't so bad!"
Rocky IV-The old school training vs. the new school. The run up the mountain. The beginning of the movie is really pretty annoying though. But this might've been the most exhilarating fight. "The Russian is cut!" So many great quotes during that fight. "You see, he's not a machine. He's a man! He's a man!" And Drago to his trainer, "He's not human. He's like a piece of iron." Rocky's speech at the end is pretty cheesy, but I quote it all the time in real life. "If I can change, and yous can change, everybody can change!"
Rocky V-Pure trash. Nothing good about this movie.
Rocky Balboa-Pretty easily the most underrated of all the Rocky films, imo. I think people write it off because you absolutely need to suspend reality to buy into the fight. But that's fine with me. Rocky's monologue to his son on the street is pure gold, though. The absolute best moment in the entire franchise, and Stallone wasn't acting. Stallone knows what it's like to get hit and keep moving. This is the guy who wasn't good enough to play an extra in The Godfather wedding scene.
https://www.youtube.com/watch?v=_Z5OookwOoY
Overall Rankings:
Rocky
Rocky Balboa
Rocky IV
Rocky 3
Rocky 2
Getting hit by a car
Rocky V