That really depends. Are we just talking one of these and no others?
If you want challenge and don't really care about story, go for Conquest. If you want the inverse of that, go for Shadows of Valentia (not least of all for the gorgeous art style, soundtrack, and top tier voice acting).
Awakening is a great all-rounder. Not as challenging as Conquest but good quintessential Fire Emblem with tons of replay value.