Just yesterday, I looked over at one of my media towers and saw the Xenosaga trilogy for my PS2 sitting there lined up and thought to myself, I really need to finish those games. I did the exact same thing you did, it seems. I finished 1, loved it, and got bogged down in 2 and never finished it. I bought 3, but it's sadly still unopened.
I feel the same way. I'll start over with the first game and try to play through them all if I can. By the way, are you playing them on the PS2?