Highly recommend playing it, but not necessarily in order. So far IMO Last Light is a better game, but that's probably because it's newer and they've fixed stuff that was a little average in 2033 (the stealth sometimes felt iffy, and sometimes it felt clunky killing stuff) and just made the good stuff better and just generally polished it up more. The tension is just as awesome. Love treading carefully on the surface in Last Light, constantly wiping the gas mask to clean the mud and blood off it, monitoring the time left on the filter and trying to strategically re-charge the battery on the light. You have to manage your ammo down to the last otherwise your stuffed.
The events of Last Light do happen after 2033 and it's the same character but they let you in on enough and you get the idea. You can find 2033 at most JBs or online pretty cheap these days.
I'm a massive pussy when it comes to horror games (but love the movies and books) and I couldn't handle stuff like Silent Hill and Dead Space, but I'm fine with Metro. There is the occasional jump scare but it's really tasteful. I just find the game really claustrophobic and suffocating, but you just want to keep playing to find out what happens next.
