I watched the first 2 Underworld movies on DVD and I must admit that while I enjoyed them a great deal I had to watch each one twice to catch all the plot twists. Even then there was some "history" behind those 2 stories that I did not fully understand.
Underworld: Rise of the Lycans does an excellent job of filling in the details and gives even more depth to some of the characters you meet in the first 2 movies - which I definitely plan to go back and watch again now!
Definitely and R movie though - very brief (but pretty explicit) sex scene and of course lots of gory killing plus some whipping...