Actual version numbers don’t mean much beyond bug fixes, etc. not in game play. In this sense the later versions are more desirable. Hero’s Quest is the first one. Due to a legal case, Sierra had to change the name to Quest for Glory. The stand alone version of Quest for Glory 1 EGA is not very common. Both are identical except for the title. There is the VGA remake that is essentially the same game, but with VGA graphics and a point and click interface. All three versions of the first one will let you save your character to import into QfG2. QfG2 is still EGA graphics. QfG3 is the first VGA only game. QfG4 is the pinnacle of the series. The CD version of the game is the one to get. Not only is the game far less buggy than the floppy, it is also the first talkie game of the series, featuring the voice talents of John Rhyes Davies as the narrator. QfG5 is the final game of the series. It is huge departure from the series. It uses pre-rendered 3-D graphics and digital audio, but the game is not as good, and seems more random.
You do not need to play the games sequentially to enjoy them. You can start each game with a new character, but you will probably wish to develop your character from game to game by importing from one to the next. The story arch across all games is not as important as the character’s development.