I haven't seen any of the Rockys . Do you have to watch them in chronological order for the best experience , because I am very partial to start with Rocky 4 , just for the Dolf Lundgren line : "if he dies , he dies . ".
Discussion
I think you can watch them each for their own story.
But
If you watch them out of order trying to make an order you'll be very lost.
At the beginning of each they usually recap what's happened in the last one if not the whole thing. If that helps? 🤷🏽
Honestly, I really don’t think it matters.
Rocky 3 features Mr T 😵💫🥊 Doesn’t matter which order I suppose. Rocky 4 is good too 
Watch the original first. It's really good. He becomes more and more a comic book character in each successive movie.