Oh, when you put it like that, not talking about the new ones...
Kind of up to you, they're very, very different games. Deus Ex is the ultimate classic shooter. X-COM: UFO Defense and Terror from the Deep are the ultimate turn-based strategy games, procedurally generated and offering a perfect simulation for managing Earth's entire UFO defense grid. Deus Ex is the easier game to start out with, X-COM has an insane initial learning curve but is all onscreen controls so you don't find yourself searching for keyboard shortcuts.
I recommend watching a Let's Play of X-COM: UFO Defense for a little bit to get an idea of how it plays--not all the way through, but just enough to understand the controls and all the interactions you can do. If it looks like something you'd enjoy, just buy UFO Defense and Terror from the Deep; Enforcer and Interceptor are entirely worthless and Apocalypse is... ehhhhhhhh. Cumbersome.
If it doesn't strike your fancy, then go for Deus Ex. Thing about the Deus Ex complete pack, though, is that Deus Ex: Invisible War... kinda'... sucks. Unless you've got a high tolerance for mediocre games you may as well not waste the extra money on it and get Deus Ex: GOTY Edition by itself if you're going that route.