The first one I watched was the Muppets Take Manhattan...at the ripe old age of 4! Then after watching TMM and GMC on VHS tapes, my mom and I went to a theater to see Muppets from Space when I was 6 or 7, which I thought was boring except for the opening "Brick House" morning routine sequence.
Overall, TMM is my favorite. GMC is a super-close second place.