Hi there, welcome to the forum!!
I definitely recommend the first two games, Door to Phantomile and Lunatea's Veil next, if you're able to get them. The former is a bit harder to get physically, though I think it's like $6 on PSN.
Heroes is really cool, just bear in mind that it's still a spin-off! DtP and LV are the main "canon" games (depending on how you look at "canon" in a series about dreams)
Also, Klonoa Beach Volleyball is goofy and fun and more people should play it.
Anyway, have a good time here!