So, I'm thinking of getting into these games. I have not played any of them before. Which is best?

If you prefer campaigns, get 1. If you prefer single scenario combat or random scenarios, get SM (which is actually closer to 2.5 than 3).

More discussion of the same topic in this thread.

I prefer single scenarios over campaigns yet the first Age of Wonders is my favorite. The campaign of AoW 1 is however looked upon as the absolute best of the series.

I think both AoW 1 and AoW - Shadow Magic are great choices. Stay away from AoW 2 (or save it till last if you become a real fan of the series) as Shadow Magic is an improved version of that game.