in some sort of order...
WC4 had it all, the great story, great FMV and gameplay.
WC3 had the Kilrathi, which mean a lot but it was imho inferior to WC4 in every other respect and it looks really dated now (prob'ly because it is).
WC1 was the first, obviously, and still holds a special place because of that. At the time it was groundbreaking.
Prophecy got a little bit boring really, compared with the others. Nice touches though.