There was absolutely no reason to include MGS1, you already have three games on one disc. People need to stop being greedy. It's literally 10 dollars to buy on the PSN so you can play it right from your PS3.
But yeah, if you're gonna replay all of them, go with MGS1 first. Then 2, then 3, then Peace Walker. That should kinda be obvious >_>
--
~Halo Rolling around at the speed of sound.
http://img593.imageshack.us/img593/2417/sonicspeed.jpg