OVA1: Angelique: Shiroi Tsubasa no Memoire (Memoir of White Wings), 2 episodes
OVA2: Angelique: Seichi Yori Ai o Komete, 3 episodes
OVA3: Angelique: Twin Collection, 8 episodes
OVA4: Angelique, 3 episodes
If you want the background story explained, you should see OVA4 first, because that one takes place first (it's based off of the first Angelique game).
OVA1 takes place after the events in the Angelique RPG Tenkuu no Requiem (a fun game), so it might be confusing for people who have not played it.
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