No point in getting 3.5, honestly I'm not sure why anybody runs it. 3.1 is good for low-end systems, 3.9 requires a more high end system. Has more eye candy, requires less patches (although still quite a few), etc.
What's the exact spec of your system and what do you intend to use it for? You still rocking the Derringer or going to trade up?
AFAIK 3.9 requires a CD to install, although there might be some way to install it via a USB, or if you were somehow able to copy all the files to RAM:, or if you prep a CF in WinUAE, may be a work-around.