I'm going to say The Power of One. Whilst the story was a tad rudimentary, it was best application of the music (in both the dub and Japanese version), it called to a very epic nature, and it wasn't as forced as the first movie was to me (which could have benefited largely from the Mewtwo short that was cut, and forced the crux down the audience's throat too much for me, rather than down the character's). And, for that matter, I liked The Return of Mewtwo better than the first movie, which merited a place amongst the films to me. But everything felt right In Movie 2 IMO (save for a few exceptions) - the animation, the music (with the emotions being the style, vastness, colors, and music, struggles, and characters), the battles, the story. It was just more tightly woven and for that matter I felt it was better than all the Orange Island Arc episodes collaborated. Oh, and if I'm not mistaken it's the one film where there are no Brock "woman hitting" moments because... quite frankly, he doesn't partake the main cast. I thought that was a refreshening breath of air myself given how excessive and vexing that becomes (at least, for me). It was a tad cliched as a movie, but then again those "cliches" are used so often that I'd say they're just... devices above all else.
The first movie wasn't inherently bad, I just felt it could been more, especially given that the Mewtwo short was cut (which gives the character much more breathing space; yes, character - Mewtwo is less a Pokémon and more a character IMO). To reiterate, I feel the "Return of Mewtwo" special was better than the first movie, but that's for another matter of discussion if I'm not mistaken. The third movie isn't one I favor that much either... none of the subsequent movies are detestable in my opinion (I liked Heroes and Destiny Deoxys a lot myself since Heroes was a very poignant film to me and Destiny Deoxys has this notion of ever present danger that I feel the other films lack, and the Lucario and Darkrai movies [save for the voice acting of the latter] are rather good as well). But I just see the second as the best.