I started with PSE2, and upgraded to PSE3. I have not upgraded to PSE4, so have no first-hand experience with that program.
Here is a site that will give you an excellent review, with pictures, of the differences between PSE2 and PSE3.
http://www.northlite.net/review/elem3.htm
This is well worth reading although it does not review PSE4.
I have a hand-out on PSE4. Here are some of the features that are mentioned:
1. "Face Tagging" .. an option that will search for faces in your photos & tag those photos automatically.
2. "Magic Selection Brush" in quick fix allows you to adjust just one area of a photo
3. "Magic Extractor" allows you to easily move a person from one photo to another photo
4. Automated skin tone adjustment in Standard Edit
5. Improvements to working with text including paragraph text and a WYSIWYG font menu (where the text is displayed in the typeface)
6. Photo Mail feature automatically creased the emails so you don't have to worry about things like attachments
7. One-click online printing
8. added features to the slide show including pan & zoom, graphics, music & voice narration.
9. not necessary to link layers to move or transform them
10. Select similar images -- ex: to change fonts on all similar images at same time, or add style such as drop shadows to all similar images at same time
11. Improvements to Organizer include folder view, face tagging, improved stacks & versions, improved creation tools
12. De-fringe layer is an adjustment to help smooth out rough jagged edges after cutting an object & pasting to new background or layer
13. Text blocks are now available
14. Automatically corrects red-eye as photo is loaded.
Hope this info will help you make the decision that is right for you.