aymerict: I have never played these games, is it similar to Heroes of Might & Magic?
Magnitus: It's closer to Master of Magic.
If you don't know that game, think of Heroes of Might & Magic with looser army management (not need of a heroe to lead your armies), no numbered stacks of units (each unit is individual and while they can be in the same army, you can't combine them in a stack), arguably more involved tactical combat, a greater emphasis on magic and in the case of the later games, more involved city development, some research and the ability to build new cities (which is not balanced as the AI doesn't build new cities).
Aningan: Which one would be the best ?
Magnitus: Depends who you ask.
It's a contest between the original and Shadow Magic.
The Wizard's Throne is not a contender, because while it's a great game, Shadow Magic feels like a successful expansion of that game (extremely similar, but with expanded play mechanics).
The original feels more like an hybrid between Master of Magic and Heroes of Might and Magic while Shadow Magic tends more toward Master of Magic in similarities.
Magnitus has done a good quick summary of the differences. Allow me to go into further detail re the differences between Age of Wonders 1 and Age of Wonders Shadow Magic.
The first one allows you a great deal more control over your character's development. Every time you gain a level, you can choose to put those points into stat increases or pick from a large number of appropriate abilities. And when you're starting out, you can choose to give your wizard (your avatar) any number of abilities from an even larger set - you can make a good character who has the evil power Dominate, for example. Further, you can mix and match your magic a bit more - that is, you can choose spells from a number of elemental areas. Spells can essentially be cast from anywhere to anywhere else, including on the overland map - and if you lose your wizard/avatar, you loose the game. Cities tend to be slightly simpler to manage.
Shadow magic changes a lot of this. Your wizard can't die, though "killing" him sends him back to the nearest wizard's tower. He also doesn't gain experience, but can gain new abilities through research. Heroes (and units) continue to gain experience, but instead of picking what abilities/stats you want, you get a choice of 2 options at each upgrade. Cities are more complicated, and graphics are significantly sharper - though, to be fair, Age of Wonders 1 is quite playable. Another big change involves "domain". In Age of Wonders 1, you could cast a spell pretty much anywhere. In Shadow magic, your wizard generates a bubble of "domain", which is where you can cast spells. It can be expanded if your wizard stays in a wizard's tower, and all your heroes contain a small bubble of domain as well - but what this effectively means is that much of the rest of the map can't be casted on.
Personally I prefer Age of Wonders 1, but Age of Wonders Shadow magic is good too - just different. Both are very good games, bottom line.