Depends on what you're into, as they're radically different games. AoW 1 feels much more like a spiritual successor to Warlords than anything else (even though it's often called a spiritual successor to MoM, I don't think the similarities are actually that prominent). City and empire management, and even spellcasting to a lesser extent, is pretty bare-boned. The main difference, I would say, is the combat, where AoW 1 offers quality tactical combat.
Basically, if you want something fun and simple, where you can reasonably run through most maps in an hour or two, go for AoW 1. It's also got, IMHO, the best atmosphere of the games (and of any fantasy strategy game, really, though I'm sure some will disagree rather vehemently on that point). The game is full of beautiful, hand-painted artwork, and I thought it was really cool how they worked the scenarios into the world-building, with all but one of them allowing the players to fight a major battle from the timeline leading up to the events of the campaign. Speaking of which, it's still got my favourite campaign out of all the games.
It's also probably got the most problems. In contrast to the artwork, the animations didn't even look good at the time, forget aging well. The AI is questionable as well (though still orders of magnitude better than Firaxis or Simtex AI). By far the biggest problem, though, is balance. While the races themselves aren't that bad (some are better than others but there aren't any races that are broken or unusable), flying units with ranged attacks, units with Physical Immunity, and heroes can shatter the game very, very quickly. The simple fact that units have unlimited retaliations meant that with the best Defense score (which was actually 9 - it goes up to 10 but due to a strange bug, 9 ends up being better than 10. Go figure). It's actually not uncommon to beat the campaign "solo" - that is to say, to avoid building armies in any mission and beat every map with your leader alone.
In a way, it's still my favourite of the series. There are so many things I love about it. But objectively, it's got a lot of mechanics that were implemented poorly or improperly.
AoW 3 is, IMHO, an improvement in a lot of ways. The combat is by far the best of any 4X game I've ever played (and I've played most of them), and the mechanics are, IMHO, much better. Getting rid of the Attack stat and having all attacks hit made the game a lot more about strategy than random chance, and also minimizes the tier difference - though it's still there (by tier difference I mean the disparity in power between units of different tech levels). Elemental damage has been implemented in an awesome way that means Protections are no longer useless, and nearly every unit in the game feels and plays very different (in AoW 1, and especially AoW 2, the rank-and-file troops were extremely similar). City development and empire management are much more involved (though still simpler than they are in a game like Civ or MoM), and I think they struck a really good balance - it's just deep enough that the question of how to develop your cities is interesting, but not so deep that it detracts from the main focus of the game - combat.
It also added the class system, which I love. I think it allows for a ton of replayability because every game becomes hugely different (moreso than before).
At the same time, though, it's missing something that AoW 1 had. A certain charm, atmosphere... I don't really know how to put it. AoW 1, more than any other strategy game I've played before or since, feels like you're actually participating in Lord of the Rings. It feels more LotR-y than the Battle for Middle Earth games. It's classic, high fantasy at its best. And man, does it rock.
So... I guess like I said, it depends on which of those two appeal to you more. I play both regularly, so you can't really go wrong either way.