Not essential to watch the first one as it does not age well with time.
Road Warrior is a must watch and it's the genre defining movie.
The 3rd one only good for one half of the movie which you can skip unless you want to hear the theme song.

The idea of mad max is like a mythical figure. All these movies are just moments of his life and it's not heavily interconnect with each other in the sense of first movie leading to the second one. You can watch it as standalone.