UYA is a little more fully-featured than GC, but it isn't quite the quantum leap GC was over the first game, so it has a lesser place in my personal pantheon. If you're new to the series though, get UYA.
As much fun as "Deadlocked" can be, it has the problem of pulling the player out of an arena just when the action starts getting really hectic, like the necessary task is completed. If you don't have online multiplayer capability, it will be a disappointment after UYA.
I miss the longer levels and platforming aspects of the first three games. I hope they bring them back for the next one.
The Sly Cooper games are all great. As for Jak & Daxter, the first and third games are perfectly-formed and well-paced adventure games and every PS2 owner should have them. As for Jak2 ... I finished it all right, but it was just too frustrating for its own good. (not challenging: frustrating.. there's a difference)