Ziame: Explanations would be nice :)
Go three then four. Be warned, they are WAY different. I love them all but they are a big step away from #2. Some folks will argue for the better, some for the worse, I say "Who cares!? They're all great games!".
EDIT, just noticed the explanation bit.
Three and four are quite similar. Four has [i]slightly[/I] better graphics and a few more races to use and I personally didn't think the religion aspect was as vital. It's there but I didn't feel it was essential to beat certain scenarios unlike #3 which in some cases can kill you without using priests. I say go three first because I found the campaign a little easier to navigate and it is a little more hands on helping you with the changes from #2 to #3,#4 of which there are many.
Ultimately you will want all of them, that much I can promise you.