Front Mission 3 has a great story with weak characters (at least in Emma's quest, I liked Alisa's quest much more, especially the characters and the mission where you killed Dennis), low difficulty, and a deep world.
Front Mission 4 is all about deep, occasionally challenging gameplay. It is not hard, exactly, but it makes you plan and think much more due to the links. It has very little in terms of exploration because it lacks the Internet feature from 3, but its missions are much larger and more complex. The levels where you get to cammand up to 11 units are awesome. The simulators also have many of the best missions with new enemy layouts and provide some cool secret parts.
My only real gripe is that custom parts seem to be less flexible than 3. In 3, there were many different parts you might use, especially since you could upgrade individual parts. In 4, each new set seems to have one great expensive high power set, and on expensive speed/evasion set. The rest are cheaper and weaker with few advantages over the more expensive sets.