I've only beaten the last two titles in the series, but even at that, I'm surprised this series doesn't get more attention nowadays.
These are hands down some of the best 16-bit titles I've played, and they're just overflowing with character.
I finally finished Wonder Boy in Monster World yesterday, and I'd probably put it just behind Monster World IV. The combat's a bit tougher than Monster World IV, but you can equip a spear to give you a bit more of an attack range. Instead of the episodic levels of Monster World IV, everything is interconnected in a Metroid meets Zelda kind of way.
The only real downside to Wonder Boy in Monster World that I found, was that the final boss is ridiculous. The entire screen is trying to kill you, while you jump around on a treadmill, trying to avoid a buzz saw in the ground, and every once in a while hitting the actual boss.
I'd like to give Wonder Boy in Monster Land a shot, but if it's any thougher than this one, I doubt that I'll be able to beat it.
Also: The emulation on these Vintage Collection games is fantastic.