Valis III is a legitimately great action-platformer in the vein of 8-bit Castlevania. It gives you cool characters to use, and it has great music and good graphics and by far the best level design in the series. The water stage and the ice cavern already alluded to are extremely challenging and feel so good to beat; they're the kind of levels that you always remember.
Valis II has the worst gameplay of the bunch, and it's very short and easy. But it's worth owning just for the brilliant music. It's one of the top ten, if not top five, Duo soundtracks. It really is that good.
Valis IV has the best graphics in the series, and it's long and quite challenging. The characters aren't as cool as III's, though, and the music is disappointing.
The first Valis has better gameplay than II, but it's kinda slow and pretty easy, and basically just okay in every respect. It's the most forgettable of the group.
Then there's the Visual Collection, which lets you watch the cinemas from II, III, and IV. Hard to find and not worth the effort unless you just want to round out your Valis collection. Cover's kinda cool, though.