Frankly I found Wild Arms 4 to have a weak story line with predictable ends. The general idea is it's kids versus adults with the kids trying to prove a point. That's great, but I found that...well...they argued their points in a weak fashion, and the game felt too linear to me.
I thoroughly enjoyed Wild Arms 1-3 though! Plenty of travel, side quests and fun to be had, though the battle system in 3 took some getting used to. Especially since the only people who did decent physical damage was Clive and Jet. Virginia was alright but...the other guy sucked for me.
In terms of my favorite I'd have to say WA2. The story gripped me, the characters felt slightly more realistic (with the exception of some), and the Black Knight was just friggin' cool. The story had a darker theme to it than the rest, I feel.
I mean, come on, one of the three starting characters had a BOMB in his neck. lol.