This depends on whether you plan on downloading ROMs* or buying the actual games.

If you're set on buying the games, I suggest you get a DS (not a DSi!) and get all six games for that; all but FF3 were ported to GBA, and FF3 and 4 were remade for the DS. As for which version of FF4 you play (GBA or DS) that's up to you.

*ReloadPsi does not necessarily have any particular point of view on this issue :P