1/Aliens
Its all good, characters, action, story + dialogue, production design, and the queen. First film I saw of the four, I saw it when I was really young so I have a strong emotional attachment to it.
2/Alien
H.R. Giger's alien! Characters, cinematography, and some of the best production design ever.
3/Alien 3
After my initial displeasure the first time I saw it in the 90s I've grown to appreciate it much more. Fincher's stylistic conventions like those low camera angles are great. The look and downbeat feel of the film rocks. Also I've always loved the ending, it ends the trilogy appropriately.
4/Alien Resurrection
I'm a big fan of the director Jean-Pierre Jeunet (City Of Lost Children and Amelie, great flicks), his cinematography is fantastic, and the aliens themselves benefit from advancing technologies. Everything else is just a bad dream on celluloid. Although I credit the film for jump starting my rabid interest in movies.