I played only the third one, and I liked it more than Pharaoh Gold and Zeus/Poseidon. Are the previous parts of the serie decent to spend time playing? What is the difference between all three (beside the GUI/graphics)?

There's two main differences between 3 and its predecessors. First, managing your walkers routes isn't all-important since building effects are area based. i.e. if you put down a temple, all housing within a certain range will receive the effects of it. The other main difference is that the earlier Caesars were broken up into city and provincial maps. The provinces had their own set of infrastructure and that was the only place you could build forts to house your cohorts. Barbarians would appear on the province map and make their way to your city. If you intercepted them with your cohorts, a battle would ensue. Otherwise, if the barbarians entered your city then you had to rely on the walkers to protect you.

Caesar 3 set the mould for what we think of as Impressions city builder series. The older ones were more traditional in the vein of SimCity, save for the provincial map. Personally, I like the third game the best. Caesar 1 is charming if you're into retro games and a solid design but very limited in your range of building options. Caesar 2 is certainly prettier and has a little more variety but I personally found it too abstract and by-the-numbers to get invested in. The only reason I would backtrack is if you wanted to avoid the hassle of managing walkers.

Thanks for such a complete clarification. TBH I never was a big fan of walker management, so it seems Caesar 1 and especially 2 could be just fine for me :)

EDIT: And players' reviews assure me even more! :)