Why do they have to make me choose? Look at my avatar and take a guess of what my favorite game is...
I'd have to say... GAH! 3. But JUST over 4 for me. With the Equilibris mod, 4 is almost just as fantastic, but 3 wins because of the variety that 4 lacked. Still, 4th alternate choices made the sides more dynamic. Still, 4 has INCREDIBLE campaigns. Gauldoth Half-Dead and Emilia Nighthaven's campaigns are two of the best ever made in games. And the series' music is at its pinnacle there.
Then it'd come 5. Campaigns aren't that hot, but the game is almost as solid as 3. The hero progression system is MUCH better and dynamic, which is a thing to say when you consider the great stuff you had to play with already. Then they took Heroes 4 development paths and upped it one doing it right: In the upgrades. I feel they should lock you with one upgrade or the other, but I'm just nitpicking here. The magic system is the most refined, even though it still has its game-breakers (all heroes have...). The graphics are fantastic, although some units look a bit too much oriental-inspired (Angels' big honking swords for one).
Heroes 2 will always be my first. Heck, it was the game that hooked me into gaming. Before that I only appreciated Doom and was curious about Warcraft. Heroes 1 still has its own charm, but you have to understand the technical shortcomings of its time to appreciate it.