WELCOME ABOARD!
It's cheaper to by a hard copy through Amazon, and Subsim.com gets a cut if you use the link at the bottom of the page.
Of course I'm biased against Steam since their computer refused to talk to me because I live outside the United States.
SH3 has had the most development from modders.
SH4 is basically better but never recieved a lot of the cooler mods.
SH5 is best in appearance, but has a half-baked role-playing model, only one u-boat type and only a tiny handful of merchant types. This will likely be fixed someday, but for now it's still very limited.