OK,
Here's what you need to know.
First of all, Epcot's show is far more powerful and bigger than the Magic Kingdom's show. With this process Im going to tell you, you can see all three of the July 4 shows.
July 3 - The Magic Kingdom generally does it's July 4 show on BOTH July 3 and July 4. It is the exact same show, in full power on both nights. Go to the Magic Kingdom July 3 for that show. The crowds will be heavy here so get into the park a little early to make sure you get in, though we showed up 1 1/2 hour before the show and got in, but Main St. was PACKED LIKE SARDINES!
July 4 - Epcot. Go to Epcot for their show. Im telling you, this show is UNREAL! SIMPLY AMAZING. Also note: it's so large you dont need to be up front to get a prime view.
HOWEVER, YOU MUST WATCH THE SHOW FROM THE FUTUREWORLD SIDE OF WORLD SHOWCASE. Since July 4 is an American Holiday, every year during the biggest part of the show, most of the fireworks comes up from behind the America Pavilion and if you are at the American side of World Showcase, you are not going to see NEARLY as much. Also during the main finale they shoot them from behind the American Pavilion and on the lagoon and if you are on the American Pavilion side of the lagoon you won't be able to see both.
If you are on the Future World side of the lagoon you can see it ALL. Also just FYI, the finale is so large over Lagoon that if you are in the front row you may not see as much. This is the one show that standing back a little may help the view.
Also, generally the show at MGM is one hour before the one at Epcot, and I can tell you from experience that if you go to the World Showcase Lagoon and stand near the second store on the left as you enter WS, you can see the show from MGM as CLEAR AS DAY! You can hear the explosions and see the show like you are sitting right there.
The show is good but, if you plan on watching the show at MGM and then rushing it over to Epcot, note that most everyone there will have the same idea as you and unless you go by foot, you may not get to Epcot in time (and by foot that's a hefty walk/run/jog).
How good the shows are in order (IN MY PERSONAL OPINION).
#3) MGM - Good fireworks, good but very short finale , somewhat your basic fireworks show. About a 10 minute show.
#2) Magic Kingdom - The show is very good, the music is very patriotic, the perimeter fireworks are great, the show has a "mirror show" where everything that is going on behind the castle is going on, the same time, shot for shot on the island outside of the MK. Honestly, the Ferry Landing is almost a better view for this show than in the park. Show is only about 10 minutes long from beginning to end. Very short finale at MK.
#1) Epcot - Unreal show! The normal Illuminations is played, followed by a good July 4 show. From beginning to end it's probably a 15 - 17 minute show. UNREAL show! Power! Noise! GREAT music! FINALE IS UNRIVALED BY ANY OTHER!