This is quite a good box set, however, it doesn't include Hannibal Rising, which is a bit disappointing (possibly due to Hannibal Rising being released a few years after Red Dragon).
My favourite film -by far- was Red Dragon, which is actually prequel to the other original two films. It's probably worth mentioning that this series is more of a thriller than a horror (which is no bad thing!).
The films are basically about detectives who are trying to track down a serial killer (a different serial killer for each film). The detectives basically rely on help from the much wiser Hannibal -a psychologist with a speciality in criminal psychology, imprisoned for cannibalism- to give 'hints' on how to track down the serial killer. Essentially, Hannibal is a lot more experienced than the detectives (not only is he a psychologist, but he's also a psychopath - so he thoroughly understands how the mind of a serial killer works), and he uses this to toy with them, as well as trade hints for improvements to his prison cell.
If you like this kind of thing, I'd recommend buying this set.