I agree. Mystery Dungeon Sky is the best one by far to play. You can recycle old items in your storage or make your own shakes to increase IQ in the cafe. And while you make shakes, you can find eggs or new locations! Sure Sky is awesome but not my fav. But it has the best features!
But, I would start playing red or blue. Both are my favorite because the original plot makes you cry. I'm not going to be a spoiler, but playing red or blue can really help prepare you for the others so that you won't be a nob to it. The only game that won't make you take a quiz is Gates to Infinity, so if you want out play that. But doing the quiz has its advantages.