Yggdra Union is my favorite Sting game to this day. It's not flashy and the story is serviceable but nothing special, but damn do I love the gameplay. If you want a strategy RPG that actually requires strategy instead of grinding (in fact, grinding isn't even an option) then definitely consider it. I know that when I played it I couldn't put it down.
Crimson Gem Saga is really, really, really, really bland. I'm still not quite sure what people see in that game. I don't really hate it or anything, it's a competent enough (other than some issues with difficulty spikes), but at the same time I can't think of a single aspect of the game that stands out. Everything in the game has been done better elsewhere. I can't possibly recommend it unless you're absolutely starved for a traditional turn-based JRPG and have already exhausted the many better titles out there...
Hexyz Force is also kind of bland, but not as bland as Crimson Gem Saga. It at least introduces some better game mechanics. Story is still pretty run-of-the-mill, though.
Knights in the Nightmare is...different. Yup, definitely different. I certainly applaud Sting for trying new things and there are a ton of interesting ideas in the game, but at the same time it never really all clicked for me. I actually really like the core gameplay concept--this weird SRPG-meets-bullet-hell-shooter thing--but there are aspects of the game that feel convoluted just for the sake of being convoluted. I don't feel like fighting the same monsters over and over on the same map over and over to finish a mission or the confusing between-mission leveling up and maintenance stuff really add much to the experience...
So yeah, my recommendation is Yggdra Union.
