P4 is my favorite to date. The Golden sounds good, but it has something in the game I feel is a mistake, and that you'd be better off playing the PS2 version over the PSP, but It would spoil it to discuss it.

If you go P3, FES is my favorite version if only for 'The Answer', and additional story in the game that takes place after the events of P3. Since that is lacking in P3P I'd give FES the best version of P3.