Many would say play them in order of difficulty. Keep in mind these games were released over a number of years in a number of different territories without necessarily any effort to establish a single "canon" continuity for them that all players were supposed to know about.
Kellar's Keep and Return of the Witch Lord were originally written in such a way that you could play them in any order after the Game System. Many have decided KK should be played first, due to the sense of urgency of rescuing the Emperor before taking on the Witch Lord again.
Wizards of Morcar clearly follows Against the Ogre Horde, and these are meant to follow the Game System at some point but it's unclear precisely whether they assume you have played KK & ROTWL before them.
The Dark Company was originally packaged with the Game System (in a special set called Advanced Quest) so in theory it is intended for play after the GS, even though difficulty wise you may prefer to play other expansions before it.
The US didn't get WOM and ATOH or Dark Company (just like the EU didn't get EQP/BQP)...
Elf and Barbarian quest pack.. which one to play first? BQP is more difficult (both of them are supremely challenging and contain many oddities that are attributed to lack of proper editing and playtesting). Both offer rewards which you could take as meaning other quests are assumed after them or they could be seen as retirement funds.
KK gives a reward but ROTWL does not (though it ends on a cliffhanger note that is never officially resolved, implying you make your own quests further the adventure).
Of the new ones... Spirit Queen's Torment seems the easiest, followed by Prophecy of Telor then Crypt of Perpetual Darkness (even though it's shorter with only 10 quests vs. SQT having 14 and POT only have 13). However while COPT implies it is the hardest challenge yet for the heroes, POT kind of seems like the Heroes have had a long career after the GS, it has been a long time since they first entered Melar's Maze, so it could be seen like a kind of retirement quest pack for the classic heroes. I'm not sure precisely what the writers intended or just wanted it deliberately left open ended.
The solo adventures found in the Dave Morris novels and the Marvel Winter Special's Revenge of the Weather Man seem basically like loose adventures that could happen any time and really have no connection to the others except taking place in the same world. Who is to say it is being played by the same heroes?
The Japanese game system is all by itself (the territory didn't get any other official expansions) so you could imagine it taking place in an alternate universe isolated from the others, or you could see it as taking place perhaps with a different party of heroes simultaneously with any of the other adventures.
To me though I would say always play the GS first, then KK/ROTWL and save the more challenging expansions for after, and probably do EQP and then BQP last (in that order). But then again there are solo quests which were intended (in those last two) to be for brand new heroes (even brand new players) though most agree this intention was very poor executed (the solo quests are way too hard for most players just starting out, even more difficult I would say than many found The Trial to be in the NA edition).
The thing is though to me no expansion really is assuming you have access to any other expansions, only the Game System to gain experience with the game and some gear (other than the aforementioned solo quests portion of EQP/BQP). There can be any number of custom quests sprinkled about as well (nothing says you only have to use the blank quest map to re-play a failed quest, it can be a totally new adventure). The Adventure Design Kit is proof they wanted players to create their own stuff not just play the official quests over and over again or lightly modify what had already been released. I would love to play a grand adventure in some kind of logical order, but the problem I have now is that there are so many official quests, it would take many years to get to the last ones and its extremely difficult to retain any players for that long in my experience.
