dtgreene: There's also Sega Genesis Collection for PS2 which includes Phantasy Star 2 through 4.
I believe the PS3 has Sonic's Ultimate Genesis Collection, which includes all the Phantasy Star games, but you need two controllers to unlock the first one. (That one is also on the Xbox 360 IIRC, but you didn't mention having one.)
Phantasy Star 4 is definitely work playing. The earlier ones might or might not be, depending on your taste in RPGs.
Yeah for some crazy reason you have to beat act 1 of Sonic 2 in two-player mode to unlock Phantasy Star I. The PS3 collection also has the Genesis shining games and a couple of other non-Phantasy Star RPGs