While certainly the best (or only) way to play all games released so far on a modern system, the games do have issues. MCC tries to streamline the games a bit, with a central UI and ways to configure settings for all games, the games do not seem to lend them to it.

Halo - Reach: No issues, other than being an extremely nameless, characterless character.
Halo 1: Fairly straightforward, but this was originally a PC game, after all, before Microsoft bought Bungie. Only some weird shadow/bumpmapping issue with textures close to the camera. It's Halo. Aside from some repetitive maps, it's all good.
Halo 2: Nightmare to get running. Could not use maximum visual fidelity settings. Kept crashing on load, even experiencing some memory leak issues (Which is impressive to see when you have 16 GB of RAM). Shame that Bungie/343 didn't take the opportunity to fix the weird transition between 2 and 3.
Halo 3: Didn't experience issues, other than some more repetitive levels.
Halo 3 - ODST: Identical to Halo 3. The central hub idea was novel, but ultimately didn't really fit. Also bizarre to hijack a vehicle, only to have it despawn right next to you when you exit.
Halo 4: Best experience so far. Loading times are extremely fast, shockingly so. Probably because it's the most recent game, suited to modern systems. Story leaves much to be desired, but probably picked up again in Halo 5.

Can only hope they'll add Halo 5 to the collection eventually, but doubtful.

While certainly the best (or only) way to play all games released so far on a modern system, the games do have issues. MCC tries to streamline the games a bit, with a central UI and ways to configure settings for all games, the games do not seem to lend them to it. Halo - Reach: No issues, other than being an extremely nameless, characterless character. Halo 1: Fairly straightforward, but this was originally a PC game, after all, before Microsoft bought Bungie. Only some weird shadow/bumpmapping issue with textures close to the camera. It's Halo. Aside from some repetitive maps, it's all good. Halo 2: Nightmare to get running. Could not use maximum visual fidelity settings. Kept crashing on load, even experiencing some memory leak issues (Which is impressive to see when you have 16 GB of RAM). Shame that Bungie/343 didn't take the opportunity to fix the weird transition between 2 and 3. Halo 3: Didn't experience issues, other than some more repetitive levels. Halo 3 - ODST: Identical to Halo 3. The central hub idea was novel, but ultimately didn't really fit. Also bizarre to hijack a vehicle, only to have it despawn right next to you when you exit. Halo 4: Best experience so far. Loading times are extremely fast, shockingly so. Probably because it's the most recent game, suited to modern systems. Story leaves much to be desired, but probably picked up again in Halo 5. Can only hope they'll add Halo 5 to the collection eventually, but doubtful.