The first XIII has an idea that it follows through with to the end, which I generally like. I don't specifically remember how the final boss was related to that idea, but I remember it being a meaningful relation.
XIII-2 is more nonsensical in its overall story, mainly because its main story gimmick is time travel. It has some interesting ideas, but ends on a cliffhanger that LR does not at all follow up on. It also introduces one of my least liked antagonists in the series. Although, in many ways, I think its a better designed game than XIII.
Lightning Returns has a somewhat generic set-up that has been done in many popular video games before. The thing that's unique about it is how it attempts to weave the story into the gameplay, which I can't say that I like. I think this game does commit the crime of focusing the story on a new antagonist at the end of the game as a kind of twist; however, I like the way it happens, and it's not nonsensical in a way that's confusing to understand. The very final scene is a lot more vague, but the implications I think it makes are pretty great.
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