4th Generation is the newest, and by extension the one that will be supported the longest.
It also has the benefit of an App store from where you can download any Media Apps you would want including the MLB app to watch the Baseball Games live.
The other 2 are the older models, with the 2nd Generation having been discontinued a few years ago, and no longer being sold by Apple. You would have to get that one second hand.
The 3rd Gen is pretty good, it will have the MLB app by default, but does not have an App Store. So whatever is on it, is what you have, and no way to add any other apps to it.
The 3rd Generation works perfectly fine, and can still be purchased from Apple directly and is has a lower price than the 4th generation.
You can compare the 3rd and 4th generation Apple TVs here:
http://www.apple.com/tv/compare/