In my experience, people generally refer to the O.T. films by name and the P.T. films by number. This is especially true of Episode I, which I rarely hear called "The Phantom Menace" (though the acronym TPM is used a lot in typing).

Perhaps it's the fact that the title of that one has so precious little to do with the subject matter of the film. But I think it's mostly that the Episode Number appeared ten times larger than the subtitle on all the promotional materials such that it became the defacto title (and the concept of Star Wars Episode One was in itself very exciting).