As a pure action movie, I like Rambo 4 best. Rambo's mission is to liberate a minister and his wife who have been doing missionary work in Burma and who have been captured by the Burmese military. The church the minister belongs to has hired Rambo and a team of mercenaries to do the job.
Rambo is the ultimate warrior and in Rambo 4 he's got the perfect enemy. The Burmese soldiers commit despicable acts on the Karenni minority in a civil war against them. The commander of the Burmese battalion is a pedophile on top of everything! Helped by the mercenaries and Karenni guerrillas Rambo wastes a whole battalion of Burmese soldiers.
The action sequences are full of gore and splatter. The Burmese are no match for Rambo and his team. What the Burmese soldiers do is so despicable that the viewer can watch them get killed with glee.
The script is pretty exciting and well written for an action movie.
Here's the final battle:
Rambo 4 makes you wish all the bad people in the world could be dealt with in Rambo style, which is a pretty questionable idea if you think about it for a second.
Rambo: First Blood, the first one of the series, is good in a very different way. It's an action movie but it it's also got a more serious theme, which is the way many Vietnam veterans felt rejected by society and how society did not deal adequately with the fact that many of them had lost their mental health in the war. Rambo does what Rambo does but many others found themselves unable to function adequately and became homeless drug addicts.