Return of the King is the last one. It's not going to be nearly as exciting if you haven't watched the rest of the story. It's one long story and watching the end isn't going to do it for you. If you don't watch the first one, you don't even get to see Boromir, who is an awesome character but dies in the first movie (oops that was a spolier, sorry). And developing a sense of who the characters are and why they're doing what they're doing is a huge part of the impact of the last movie.
