I haven't played 4 yet but in terms of mechanics I think they've gotten progressively better. Story is free-standing, but I think they've really declined in that aspect since the first one. Mao and whatever his name was from two were both really poor compared to Laharl. Probably because at least the guy from two was quite a bit more serious than the first one.
4 has the best story and characters imo. It's at least on part with 1.
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