Red Dead Redemption first. Assassin's Creed II is a big improvement over the first game, so play that next. I found Alan Wake to be a bit disappointing since I was expecting something more than a straightforward corridor shooter.
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Pretty much always do, and in the event that I don't, I just buy it at the post-Christmas sales anyway.
It's never too late, and GoG pretty much kills the compatibility issues for the best games. The only real issue would be the steeper learning curve (compared to the hand-holding of most modern day games). Cannot recommend Fallout and Fallout 2 enough.