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I just finished playing the first 3 and I'm working on the 4th now. :) I'd really recommend starting with the first, just because it's sets you up for the rest of the trilogy. The 4th can certainly be played separately from the first 3, but so far, I enjoyed the characters from the first 3 a little more.

That said, the 4th is certainly more interactive, with a more varied game play designed for the DS. You can't really go wrong with either. :)