Which of these three games should I play next?

A bit of a backstory, I know, I know, I'm a negligent person. I got caught up in other games and never got around to buying these. Well, with assassins creed I played the first one and didn't enjoy it, but I've been encouraged to play the 2nd one, and given what I've heard about it I'm kind of excited to try it. 
Alan Wake has come highly recommended as well, this game sounds incredibly interesting as far as the plot and atmosphere are concerned. 
A friend of mine who shares a lot of my sensibilities loved the hell out of Red Dead, thus my confusion. All of these look great and I don't know which to play next given that I just bought all 3 today.

Do you mean Red Dead Redemption, Red Dead Revolver, or some weird game known only as "Red Dead"? 

Alan Wake, as it seems that's where your main desire is. 

all three are really good games. I'd say red dead, but that's because I've been playing undead nightmare and loving it. Haven't played alan wake or assassin's creed 2 in months.

Assassin's Creed 2

...damn, all of them are story heavy and all of them can be experienced through YouTube to save time.   
 
Pick whatever one you want to play more. 
 
Alan Wake however, stick with YouTube.  Trust me.

Do you plan to buy or rent these games (that is, if you don't already own them)
 
I guess if you're planning to buy go for Assassins Creed II or Alan Wake first since they're pretty cheap now.  I haven't really gotten a chance to play any of them myself though (except RDR for a few minutes at a friend's house, not enough to form an opinion about it)

I say Alan Wake.  Based upon the phrasing of your question I've guessed that time, not money, is the issue here, and I know that Alan Wake is the shortest of these games.  You could beat Alan Wake and move on to your next choice, while the other two games will have you playing for 20+ hours apiece.
 
Also, if you didn't like Assassin's Creed because of the horrendous controls, then Assassin's Creed 2 won't be much more appealing to you (although it IS a much better game than the first).  However, it is an easy platinum/1000 pointer if that's important to you.

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.

AC2. The gameplay is greatly improved compared to the first one and the story is going to blow your mind. 

Of the three, my love goes to AC2, which was my GOTY last year, and this year Brotherhood is my number one game-on-a-disc (my top three picks were all downloadable titles).  The series has an amazing story, great characters, great music, great gameplay, and a way better open world experience than I have ever played before.  I enjoyed Redemption, nowhere near where a lot of people have, but it's still a solid title as well and also worth the money.  As for Alan Wake, after I was done with it I wished I had just bought the novelization or went the YouTube route.  Getting to my answer for your question though, I'll say AC2, Alan Wake, then RDR, because after AC2 you're going to want to play Brotherhood, but your other two games will give you a nice buffer between the two AC titles so you don't get burnt out. 
 
Of course if this was me I'd be alternating between all three at once.

alan wake.

All three are great games, I guess it just depends on how you like to play:
 
If you are after something long and epic and like GTA style gameplay then Red Dead, its a long slog (I managed around 23 hours for a full story playthrough with a reasonable amount of side quest mucking around) it is a great story, with some fantastic characterisation, beautiful terrain and amazing atmosphere, I missed some of the side stuff (I like a focused story) I personally played it over a couple of weeks, completing one area, moving on to the next, doing a couple of missions in the new area and then taking a break for a couple of days, this kept the mission types fresh and interesting for me.
 
Assassins Creed is much improved over the original, the story is far better, the cities are beautiful, and the story more fleshed out and there is a ton of optional stuff to do. However the actual "run around and stab dudes" gameplay is much the same as the first one (although the contex of what you're doing is far more interesting) essentially its Assassins 1 but with a million more things to do. I enjoyed AC2 but I burned through it much faster than Red Dead, if I remember rightly it took me around 15 hours to do a full story playthough over a solid weekend and maybe a couple of hours an evening for a week.
 
Alan Wake is a bit of a weird game, they wrote it to be quite episodic (to the point where you "end of chapter three" with credits type music and a "previously on Alan Wake" type introduction at the end and beginning of every chapter, imo if you play the game like this (i.e complete a chapter and then stop for a week or so before coming back) you'll have a much better experience than if you were to burn through it in a couple of sittings since the enemies you fight don't seem to really change much as you go through it. I am currently playing through it so I can't really give a comment on its length (I've finished the 3rd chapter and have played for maybe 4 hours now?)  but the story is interested and is drawing me further in. The game is very linear though (there are short excursions off path for weapon drops and collectables but no real side quests to speak of) so if you're looking for a big open world then you will be better off with Red Dead or Assassins.
 
In terms of whats actually the 'better" game? Personally I loved Red Dead, the characters are great, the story is really fantastic and deep and its the best western.... well ANYTHING I've ever seen or played. AC2 is also fantastic, if you want an open world game that you can get immersed in over a solid weekend there are fewer better. If you are only gonna play for a few hours a night and want something which is a bit less open world and slightly more survival horror and a bit more directed then go for Alan Wake.
 
All three are great tho so you can't lose with any of them :)