Sharkbit has a good point. If you are already well experienced in the SH3 world then, as he says, go straight to a modded SH4. The only real advantage to playing stock first is that you would then REALLY appreciate the modded version,LOL.

Although as Sharkbit correctly points out, depending on your patience/temprament, stock SH4 could put you off. Then again, you've probably lived through the early (and painful) days of stock SH3 and appreciate what GWX has done. Ultimately, your call.