Anyone finish the single player?
I actually am playing through the whole series right now, and I'm on Killzone 3. You can get the Killzone Trilogy on the PS3 for pretty cheap right now. I also already finished Mercenary on the Vita and downloaded Liberation (PSP game).
I got halfway through Shadow Fall before I decided to finish the other games. It's cool because you get the backstory of the whole war, but since Shadow Fall is like 40 years in the future, I don't think any of the older characters are around anymore.