Millennium 3 is the 3rd installment of the 5 part Millennium series. Yes, that means you should probably start with the first one. That being said, each part is different. The main character remains the star but the story stays fresh with a blend of characters from the first two along with some new recruits. You can import your save game from 1 to 2 to 3 etc. and you get to keep your gear so that makes the series more rewarding.
The plot in M3 is quite enjoyable. The level design is nice and includes some big dungeons. So far, I found the characters in 3 the most interesting. There is also a lot of humor in the game with funny dialogue between characters. The main difference between 3 and the first 2 is that M3 uses a lot more side scrolling maps. At first, I found it a bit strange but you get used to it and it adds some visual variety and some fun jumping adventures for Marine. Otherwise, the plot is building up to the tourney at the end.
The game has a lot of achievements that are fun to get. If you are an achievement hunter, play the series on hard mode. It's not too bad (I typically do not play games on hard mode) and you'll get a lot of extra achievements for it.
If you're on the fence about this game, keep in mind that on Adorlea's official site you can play a demo of the full game that lets you play the actual game for 1 hour. I would recommend that you start with Millennium 1 however. You can play each game as a stand-alone, but it will be harder and the plot / characters won't be as meaningful.
Overall, Millennium 3 is a very fun third part of a great rpg series. Aldorlea's RPGs remind me of SNES rpgs, which I consider the golden age of RPGs. (Chrono Trigger, Final Fantasy III, Earthbound, etc.) If you enjoy character driven rpgs with some humor, you can't go wrong with the Millennium series.