I heard that Thief is a great game. Now i finally decided to try it out. So should i start from the first game in the series or will it be fine to skip the first two and just go with the last one? Will i lose much if i skip?

I heard that Thief is a great game. Now i finally decided to try it out. So should i start from the first game in the series or will it be fine to skip the first two and just go with the last one? Will i lose much if i skip?

You'll miss quite a lot, including a great tutorial level, some excellent levels in churches and wilderness and will not understand why Garrett is in the situation he is in when playing Thief 2. Start from The Dark Project.
While I think Thief: Deadly Shadows (the third game) is awesome, there are a lot of references to the stuff in the first two games, and you should play them to understand.
I've only played the third one, and though I didn't feel lost in the story (as far as I know they're all mostly self-contained), I'm sure there must have been references to characters, locations, events, etc that I missed because I didn't play the others.
Any game or film should not require you to play/watch the previous ones to understand it - that's a sign of not being as well written as it should be. But in my opinion you will almost always get more from playing the series from the start.
Definitely you should check out the old ones - the problem is they can be difficult to get working on Windows 7 and with widescreen monitors. Definitely check out this thread
There's also a fantastic fan-made episode for Thief 2 called Shadows Of The Metal Age which to my mind could easily have stood as an official release.
I say play the old game dark project I played splinter cell blacklist and had to play the old games to help play the first first