Honestly, you could probably skip Dark Forces. It was impressive for its day, but when you peel away the Star Wars veneer it's not that different from the myriad of "DOOM clones" during that time. If you're really curious about the story I'd recommend reading the plot synopsis from Wookieepedia and/or watching the cutscenes on Youtube.
Jedi Knight is an odd bird. First of all, good luck getting it to work on modern operating systems. Your best bet is to follow the directions at the website below. It's a real pain in the ass, but I eventually got it to work;
http://jkdf2.com/
Secondly, Jedi Knight has aged extremely poorly in the visuals department, more so than even Dark Forces. The blocky character models are ugly as sin, and the texture quality is absolutely atrocious. Luckily the above link contains downloads for Jedi Knight Enhanced and the Jedi Knight Retexture Pack, which go a long way towards addressing these issues.
Thirdly, the game boasts some incredibly large levels that are easy to get lost in. There's lots of key-hunting and switch pressing, and the route ahead isn't always clear. It's one of those games where there's no shame consulting a walkthrough if you get stuck.
That said, the game has its share of redeeming qualities, at least in my book. The gunplay is the best in the series, with a wide variety of blasters, assault weapons and explosives that each fill a distinct role (well okay, Sequencer Charges are shit. Everything else works, though). Just don't expect to clear a room effortlessly with just a lightsaber like in subsequent games. Jedi Knight was made before the prequels came along, so saber combat feels slower and more deliberate, like it was in the original trilogy. Also, the story is actually quite good, with witty dialogue and delightfully campy live-action cutscenes.
Jedi Outcast was my introduction to the series, and it may be your best option if you're looking for something a little more modern in its sensibilities. It still has some annoying holdovers from previous games (confusing level design, too many key hunts and switch puzzles) along with throwing in some new frustrations as well, such as jumping puzzles that require pinpoint accuracy over bottomless pits. There's also a maddening stealth segment of the worst kind in one level. You know, the "trial-and-error with insta-fail outcome if an enemy so much as glances at you" kind. Also, the blasters feel anemic compared to previous games. That said, the saber combat and Force powers are nothing short of amazing. You truly feel like a Jedi (or a prequel-era one, at least) as you jump off of walls, toss Stormtroopers around like dolls and engage in lightsaber duels that require careful observation and timing to succeed. The story is solid as well.
Jedi Academy is the most streamlined of the bunch, with more of a focus on combat than exploration or puzzle solving. While it sounds good on paper, I think they went a bit too far in this direction. I never really got the same feelings of accomplishment I'd experience playing through hard sections of Jedi Knight and Jedi Outcast. The story is kind of lame as well, at least to me. Without trying to spoil anything, there's a character you meet that...well, let's just say he makes whiny, prequel-era Anakin look like a pillar of maturity and poise. Frankly, I hated every moment the douchebag was on screen.
tl;dr - If you don't mind jumping through tons of hoops to get it running, ugly visuals and labyrinthine level design, go for Jedi Knight. Otherwise you'd probably be best off with Jedi Outcast.
...Oh yes, don't forget to check out the modding communities as well...or what's left of them, anyway. There's only a few diehards left that make custom content for the older games, but the Jedi Academy community is still semi-active:
Dark Forces:
http://df-21.net/
Jedi Knight:
https://www.massassi.net/
http://www.jkhub.net/
Jedi Outcast/Academy:
https://jkhub.org/page/index.html
http://mrwonko.de/jk3files/
http://www.moddb.com/games/star-wars-jedi-academy/mods
