I've got them all, I've been a fan of the series since it began. Civilization IV introduced serious changes in the basic economics of the game, mainly in the way the game calculates city income, aimed at forcing players to play the game in the way the designers thought it should be played. If you've never played before you obviously won't notice anything wrong, though.
Civilization IV is the best of the series graphically by far. I prefer the gameplay of Civilization III, but in large part that's because it uses the same basic economic formula that I'm used to.
I would have advised you to buy Civilization Chronicles, a compilition of the entire series through the original release of Civilization IV, but they've raised the price on it drastically since I purchased it. I got it for $29 shipped from Amazon.com, now they have it listed for $107 which is absurd. The original game was DOS, you really don't want anything earlier than Civilization III unless you get Chronicles.
Edit to add I hadn't looked before reading Chriscross3234's post, so I didn't realize Civ IV Colonization came with the pack you are looking at. I recall being really frustrated with the original DOS Colonization, but that addin makes that a pretty good deal.