FFIII should be the very last one you get (referring to the DS version here). Trust me.
I would get FFVI first on GBA (since that's the most easily attainable version).
Or, you could always play them in order, since Square are supposedly putting the first 6 on the VC over the next year.
If you want to go 3D, I hear the DS version of FFIV is really great, and FF8/9 are still fairly easy to find in game stores these days.