The Gears of War
trilogy has a story... with an actual plot. This may be a revelation to some, so Epic has produced a timeline that covers pertinent events.
Short version: Marcus Fenix has deep daddy issues. His buddy, Dom, had spontaneous wife issues in the second game, but they worked it out. Meanwhile, the planet had a locust problem, which then evolved into issues with a new group, the lambent. There, you're all set for Gears of War 3
Longer version: Head on over to Epic Games' site for the full rundown