Now, I played a little out of order; (Time, Sky, Gates, Blue) but in order of my opinion:
1. PMD2
2. PMD1
3. PMD3
**In general**
I liked Explorers of Time/Sky the most out of the three, and it was my first mystery dungeon game. I feel like the mechanics were great, and all the good ones were all there. During my playthrough of Blue, there were some minor features that I noticed were lacking, but these features were fixed up in PMD2. I know I'm not mentioning gates a lot, but I'll get to that later.
**Story**
The story in PMD2 was phenomenal. I still think back to it. I feel like what made it the most impacting was just its depth, for example [you grow to trust Dusknoir and think Grovyle is a dirty criminal, but it turns it all around in a moment](/spoiler). Also, when you've faded from existence...you watch your partner walk home, crushed. It's just...watching him walk and cry with the music...(I'm sorry if you think I'm biased.) PMD1's story was not quite as deep, but it was still touching. I'm not going to lie, it was a very fun experience and the story was great. PMD3's was...ok. In PMD3 I guess there wasn't as much character development, not really that much...and there was absolutely no post story, which kind of pissed me off. Spoilers: [So you've beaten the Bittercold, and the world is saved. You leave your friends to return to the human world, and your partner is heartbroken. All that happens is your partner goes to a place to try to bring you back. After that, there is no more story.](/spoiler) In PMD1, I don't know much about the post story yet, considering I've just gone through Stormy Sea and recruited Kyogre. Now I understand that post story isn't all that there is, so...
**Replay Value**
PMD1
(I'm sorry, I haven't truly gotten very far to say much about this game.)
PMD2
Once you're passed the post story, there are quite a lot of difficult dungeons to try such as Zero Isle (and in Sky, Destiny Tower) but if that isn't your style, there is still the challenge of the seven(?) instruments and the seven legendary Pokémon. Even if you beat them once, you still might go back to recruit the bosses or bring a key to pick up some loot along the way. And while doing this, there is still the challenge of raising your rescue team rank as high as you can, to unlock special dungeons.
Also in Sky, you have the special explorations which are unlocked as you progress in the main story. These provide greater detail about the history and the future of some of the major characters in the story. They're entirely optional, but very fun, and unlock some tracks in the Sky Jukebox.
(On a side note, I keep going back to Explorers of Sky for one particular reason: The Sky Jukebox. I'll just pop it in and listen to some of my favorite tracks, looping permanently and perfectly if I want.)
PMD3
Even though I lost my game and was a little disappointed in it, I still wish I could go back and play it. As usual, you can rank up your rescue team, but while doing so the major replay point is building your Pokémon Paradise. By completing jobs you earn materials which can be used to build new buildings and expand. There is also a 99 floor challenge solo dungeon, if that's what you like. There are some DLC dungeons, but I don't know if there are a lot.
**Music**
In PMD, I love the music and I feel like it's part of what makes PMD special. In all three, the music for the earlier dungeons aren't quite as memorable as the later ones. In PMD2, for example, even though I played through last in ~2011, I still can't get Grovyle's Sacrifice/Through the Sea of Time out of my heart (I typed this in initially as a typo for head, but it's perfect), and I still listen to Dialga's Fight to the Finish. They just carry so much emotion I could go on and on and on and on and- you get the point. I love the Blizzard Island Rescue Team Medley, though I didn't realize prior to playing PMD1 that the reason the track was called Rescue Team Medley was that it was in fact a medley of dungeon music from Red/Blue Rescue Team. This made playing through PMD1 even more fun, listening to the dungeon themes and thinking, *"Oh, that's where that part of the medley comes from!"* In terms of memorability for PMD1, I found that Sky Tower was hands down the best track. I feel like that one's feeling closer to me than my old favorites from PMD2 actually. Now, PMD3, I know I just don't have much positive to say about this game. I'm sorry. It was fun, but I just didn't enjoy it as much as the others. I understand some people probably liked it a lot. I guess I just did not.
**Other things**
* PMD1 and 3 are gender binary. It doesn't affect gameplay noticeably, so I didn't really notice it (but it did make me wonder what happens with nidoran)
* I liked the controls in PMD1 over the controls in both 2 and 3. I just found the buttons at the bottom of the screen very convenient. I did appreciate the move memory in PMD2+ though, where you could just keep pressing X and use the same move over and over.
* The move powering up in PMD3 was a pretty interesting feature. For those who haven't experienced it, the more you use a move, the more exp the move itself gets. The move itself ranks up and gains power. So learning new moves isn't always great if you have a bunch of high level moves.
* I felt like PMD3 should have had IQ. It was a very important mechanic that was completely discarded. You lose all the benefits gained from it.
* Speaking of IQ, I felt like the trade-offs in PMD1 were a little annoying at first, but soon I realized that they were actually a pretty good idea (For some IQ skills, enabling them disabled similar ones, so that they wouldn't be conflicting and so that you had to make a choice.
Everyone has their own opinion of PMD. They were all filled with emotion, and all were pretty great. This is my opinion.