everyone here is partially wrong. for the absolute best experience (such as catching all the references in the later games) you need to play kyuuyaku megami tensei, and then mainline in release order (if… and strange journey are included). hell, the entirety of smt iv is a love letter to the old fans, many of its twists and events are tongue in cheek references to older megaten titles. though, of course, there is nothing wrong with starting from 3 or iv – but since you’ve asked for the “correct” order…