Personally, I'll always have a soft spot for Hellworld, because it was actually my first introduction to the series, but I do admit that it isn't my favorite as a Hellraiser movie per se. I'll elaborate more on that point in answering the second question, below.

In any case. having seen them all since that time, I would have to point to Hellbound as my favorite! I love the first one, of course, but Hellbound seems a bit more meaty to me in many aspects. The original set a very nicely laid out stage, and then the second expanded on that in a very fulfilling way. That's a pretty impressive feat for a sequel (especially when horror movies are concerned). I'm also a big fan of villain backstory teasers done right, and Hellbound does an impressive job on that score as well. You see enough of the cenobites as humans to get a feel for the fact that they were human, once, but not too much beyond that. There's enough there to give you that feeling without precluding the imagination of the viewer fleshing their stories out further.

On that note, I'll mention that my favorite cenobite is the Chatterer. Not exactly an unpopular opinion, to be sure. The design hits on certain tropes that I tend to be fond of in general, and the reveal that the original Chatterer was once a young boy pushes certain personal buttons as well. The Chatterer underscores that the cenobites are not discriminatory--no one is exempt, no matter their age, or knowledge, or anything about them at all that may sway a more merciful creature. Anyone who opens that box is on equal ground, and equally doomed. I consider that an important aspect of them.

On to my next question:

First of all, this question smacks of a bit of elitism, which I really hate seeing. The idea that any personal assessment should be paramount and that anyone with a different opinion is inherently wrong is a pretty silly one, and it's definitely the way this is phrased. In any case, I respect that you don't think the series should have continued beyond a certain point, and that opinion is a pretty prominent one, but I for one do enjoy a number of the sequels. Personally, the only sequel I actively hate is Revelations. To me, it's very obvious that it was a rush job to preserve the copyright status of the franchise. I'm also not a big fan of Deader or Inferno, but they both have a couple of aspects that I can find a little redeeming (Deader had some terrible special effects, but some of the makeup work was actually quite well done--and Inferno was mostly visually engaging and presented some story ideas I enjoyed).

The problem with the franchise really arises when you consider how the scripts came about for many of the sequels. In a lot of cases, the sequels were pre-existing scripts that were modified to weave in with the franchise in the hope of having them appeal to an already established fanbase. Keeping this in mind, I have an easier time enjoying them for the things they did well. Hellworld, for instance, didn't need to be a Hellraiser movie. The plot functions fairly well as a basic horror premise. It does, however, allow for more time to be spent on the thrust of the story instead of outlining a fictional game that the viewer may not know anything about to begin with. By making it a Hellraiser movie, they gained access to an already established set of characters and circumstances that their target audience was already fairly well versed in. Even people who haven't seen the movies tend to recognize Pinhead, and even the puzzle box, so explaining those aspects no longer needed to be as much of a priority in telling the story.

There are certainly arguments to be made about inconsistencies in how the cenobites and the vision of what lies through the door opened by the puzzle box are portrayed. There are also certainly arguments to be made about the special effects (although if that's the direction you're taking, you may want to go back and look at the first couple again, without your nostalgia lenses on--they did some great work, but they certainly weren't perfect). The makeup, not as much so, as they've consistently done some impressive work on that level (unless you want to discuss the matter of how the Chatterer in Revelations can produce that sound when her teeth never meet, and even then the makeup on the skin peeling scene especially is a fairly effective counter-argument to the makeup being all bad). And if you're going to argue about overarching story and acting, then I'm going to have to start pointing to some less than stellar moments early on in the franchise--including the first movie, although less on the story and more on some moments in the acting there. 

Basically, I can respect that you personally did not enjoy the later movies, but I enjoyed a lot of them and a lot of aspects of even the ones I didn't. And believe me, I've seen plenty of absolutely terrible movies that I will admit I consider as such. However, I'll also mention that the ones I consider objectively terrible have some pretty offensive and harmful ideas on showcase, or just seem to not have any effort at all to them--and even those I'll admit some people enjoy. For the most part, it's all down to personal preference and what exactly you're looking to get out of watching the movie. If something doesn't push your buttons, it doesn't necessarily mean it's terrible; it just means it's not for you. I'm personally happy that they've found a way to give scripts that may have gone by the wayside a chance, but I can see how people who are purists to the original source material have a problem with that.