I want to start one of these city builder games! They look pretty fun, and I thought these games do not look too complicated (and more fun) than some of the sim city games. I have some questions though:

What is the best one to start with?

What do you think is the best one overall and why (I know this is a pharaoh community board so I am expecting people to say that game is better so please explain why the others are good as well)?

If I start with Pharaoh or Zeus, then will it be tough to then go back to Caesar 3? I know sometimes when you play a later game in a series, it can be hard to go back to earlier iterations due to the limitations and problems that earlier iterations had and the later games fix.

Should I just wait and buy them all on sale, or are there certain games I should skip (and why?)?

I do not have any real experience with city builder games, but I hear that these games do a good job of teaching the basics and I would love to get into them.

Playing Caesar 3 is recommended, it's a much older game. If you play Pharaoh first, you'll find it harder to get used to C3, due to C3 making the strategy far more difficult (limited immigration, no real way to control walkers etc). Pharaoh also expands heavily on many other features that C3 did not include. I've only played Pharaoh, and I've struggled all the time to play C3 correctly, which should give you some indication that you should start with C3 first.

Don't play Zeus first. It has a very overhauled game engine and does not play in the same way as C3/Pharaoh. With C3/Pharaoh, buildings generate "citizens" to find workers: this mechanic is removed in Zeus/Emperor, which means the play-style of Zeus/Emperor is completely different to that of C3/Pharaoh.

I'd say Caesar 3 and/or Pharaoh first, with their (to me) cooler historical atmosphere, and then if you want more, Zeus and Poseidon.

Between Caesar 3 and Pharaoh, I'd say say start with Caesar 3. I'm currently doing a full playthrough of Caesar 3 myself. It's as fun, the cities look just as cool (see attached screenshots - reduced quality due to size), and it has got a cool Asterix&Obelix-ish Roman vibe going that I love. And like Shukaku says, trying out Caesar 3 after Pharaoh will be difficult. Kinda paradoxically, in large that is because certain mechanics in Caesar 3 are less complex than in Pharoah. Specifically you can't tell warehouses how much of each good to keep, and you can't tell markets what and what not to sell. Also, you don't have roadblocks to restrict walkers to certain areas (well, except for the large gatehouse which you have in most levels which does the same thing).
Trust me, you're almost not going to want to play C3 after Pharoah once you realise you don't have access to those features anymore. On the flipside, they're going to feel like a godsend going from C3 to Pharoah. Not that C3 is frustrating without those features mind you, it's simply something you have to factor in your city's design. And not that it is the only big difference between the two. Pharaoh is not simply a reskin of C3. The whole farming system has been reworked to use the Nile's floodplains, and of course, you get to slowly build awesome monuments on several levels.
The monuments is another thing you're going to miss going from Pharaoh to C3.

If you are wondering about how to approach the game: there are several finer points on how the mechanics work that have notable ingame ramifications if you don't understand them. Typically you'll learn these as you go along, but after almost two decades I recently discovered some important ones that I did not know about. So I think a good idea is to play 5 or 6 levels, and then look at this FAQ:
http://caesar3.heavengames.com/faqs/index.shtml
Oh yes, and I'd strongly recommend not looking up any sort of optimal city layout designs. There's a lot of fun to be had steadily improving your own designs.

And please don't hesitate to ask lots of questions on the forum. A few of us I think regularly check for activity on the C3 and Pharaoh forums.

C3 as the first two responses mentioned. Gameplay can be frustrating when you see your Walkers head in the wrong direction. But, I enjoyed it thoroughly. Because you have to make strange path decisions to get your workers to co-operate, the Cities end-up looking more organic.

Pharaoh Increased the history (good), made city building more logical (good) but lost some of the "What the heck do I do now?" . Pharaoh was the best of the games but you could see the way the game was going.

Zeus started becoming mechanical in building. But some of the City challenges were great.

Emperor (which I don't know if GOG has it) became so boring that I didn't even finish it. Though I do remember I built one awesome looking City.

Edited for a stupid spelling mistake.

Emperor is not available on GOG.com due to licensing issues, but it's a very simplistic game: I was able to complete most of the missions first time on Hard difficulty, simply because the game engine is predictable.

Yea. That's the game I remember. But they did have spies which were very funny. You see a City Walker in the middle of a rice field and you know you had been gotten. That was good.
How many games broaden their appeal to get more customers only to see the broth so weak no one wants to play it.

Thanks for all the help everyone! I will probably get them all the next time they come on sale then!! I was dissapointed they didn't have a bundleopolis sale on them though...

I'd recommend Pharaoh, much for the same reason others are recommending C3. The small things, like roadblocks, change the game from an exercise in frustration trying to make walkers do something reasonable, to being able to focus on the design of a good, workable city.

BITD, I played a lot of C3, but I've found when I get a bout of nostalgia and install it on the drive, I only play it a couple days before going back to Pharaoh or some other game.

I've really tried to like Zeus, but there are just too many things about it I just don't. The arrangement of goals into sequential scenarios, for instance. Had the goals been stated at the outset, it would make a difference in how you grow the city, but that was not how it was implemented. Playing through blind is somewhere between irritating and maddening, as I had to demolish parts of the city just because the new goal needed a particular building, and the game only allows it to be placed in an area I had already built up.

Oh, and I hate volcanic eruptions...

This is one thing I don't really like about Zeus. If you are playing blind, you can get screwed over just because you built your city in the right (wrong) spot. I never liked the military in Pharaoh, but at least with that, you get warning and can do something about it.

I'd recommend Pharaoh. The core elements of a good city builder are at their best. Caesar 3 was good for its time but nowadays there's not much of a reason to go back to it save for nostalgia. Zeus could be considered an improvement over Pharaoh but ultimately some design choices bug me and I didn't get that much into it, ultimately it's a matter of taste.

Emperor is now available. Would you recommend it at it's current sale price?

If building beautiful Cities is what you like, Emperor would be the best in the Sierra Series.
I like parts of the game very much. And the history is always fun to learn.
But the maps tend to be similar for me.