UrielDagda: Might and Magic: World of Xeen (IV and V combined) was probably the pinnacle of the series. VI and VII were okay, for what they were.. VIII was blah, and I think IX was just dog vomit (never played it though).
Some seem to prefer III actually. I've also seen some hail the sixth as the best, though I think that might have something to do with the age of the audience. I dunno.
I've personally got World of Xeen (as part of Ultimate RPG Archives), VII and IX (which I bought "used" still in shrink wrap for $8). Don't know which I would call my favorite, since I actually didn't played that much of any of them until recently.
Despite what I posted before this, I actually bought VII first, because of the HOMM 3 craze when I was still in elementary school. Needless to say, I was rather surprised when I started to play it. But from what I've played I've enjoyed it more than HOMM.
ElPixelIlustre: I got the retail big box version of Might and Magic: World of Xeen, which comes with a really big and beautiful map... but I was never able to play it thanks to windows comtability. So I would definitily buy it again on GOG... well, I woud probably buy most M&M games.
DOSBox mofo. That's how I play it. I do seem to have some random freezing problems with it (might have something to do with the redbook for the voices) , though it seems to be an isolated incident, since I've never found anything similar on other place on the net...
But I'm going to mess around with the settings, since the last few posts made me want to give it another proper try.
Swords of Xeen seems to work fine though.