The games are very loosely connected so it really doesn't matter which entry you start in. The first game is pretty old school and sticks more to the traditional MegaTen roots. It has a bit of a love/hate relationship among people who play it. I love P2 but since the first half of the game is still in Japan and getting a legitimate copy of the second half can be a bit pricey for a PS1 game it would be better to emulate. You can't go wrong with P3:FES or P4, though these entries are radically different from the rest of the series and from a lot of RPGs in general. Course, they are far more Newbie friendly than the earlier titles and they have great stories and cast of characters so its not hard to get into them.