I've finished each one of them once. As far as replaying them, I've started both multiple times but got hung up for various reasons. With Shenmue 2, I got frustrated with the Xbox 360 d-pad and trying to do the work at the pier. Then I got a RROD and didn't have a transfer cable to bring my game save over to my new Xbox's HDD. (As I recall in my first playthrough, I ended up mostly using a savegame exploit and a particular gambling booth to save up money.) I might try it again on an original Xbox when I pick one up.
More recently I started up Shenmue 1 in an emulator, but balked when I realized that I couldn't play the arcade games in the emulator. Something about a double-emulation being against the laws of thermodynamics. Then I went and re-bought the DC original and am waiting a while to play them through back-to-back, maybe later this year.
I think they're both worth replaying, because they both have a LOT of hidden content.
As for 3, I'll play it on anything it comes out on... but I guess at this point my preference would be PC.