I think Sly3 is the best of them all! It even surpasses Sly1 for me!
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Getting the platinum trophy here was also pretty trivial and there weren't any tedious trophies.

The China world had the best Sly bosses of all time!

The first part of the mid-boss was just surreal to play through as the jump mechanics changed and is nothing like any of the bosses across all games. You have to be sure with your attacks since you're airborne and can strike only once.

The second part of the mid-boss is a more traditional boss fight but it makes use of climbable bamboo that both you and the boss can destroy -- it changes the battlefield and you have to be mindful of what's happening to your surroundings since you need to climb to evade some attacks.

https://youtu.be/u1oTVzGY-ig?t=528

Then the final boss of this world has you using the entire world! https://youtu.be/dib1V4Hpkog?t=1117

Other things I really liked:
- The aerial-combat mini-games
- The final stages and boss (felt like Sly1!)
- The challenges (returns from Sly1) although I wish they were a bit more difficult (Sly1's difficulty was perfect because it really made you take extremely risky paths)

Things I didn't like:
- Dialogue mini-games (waste of time to me) -- the exception was the insult exchange mini-game, which was actually a game with a failure condition
- No treasure/loot -- have to grind (via pickpocketing) to purchase all upgrades. The gunship battles eventually improve your revenue stream but that comes so late in the game!

And so my personal Sly ranking is: Sly3 > Sly1 > Sly4 > Sly2