I think most would consider PMD Explorers of Sky to have the the best story overall.
For mainline, Platinum is the way to go. Team galactic has a strong presence and compelling motivation, beyond: we want money/power. I love how you can physically see the evidence of their evil effecting the world - in a couple instances. I also like it's balancing: it will pressure you without being to much of a grind(big improvement over Diamond/Pearl); and it doesn't really hold your hand at all, once you reach Eterna City.
Lot's of interesting side areas as well, and I like the lore surrounding the god pokemon.
I recommend the movie; it's essentially a loosely historical commentary on the political situation in the Soviet Union, at the time of Stalin's death.
It's fairly comedic and definitely worth watching.