I'd say SH2 --> SH --> SH3 --> SH4. That's how I did it, and I think that works out great. SH2 was my favourite, with SH3 a very close second. :D The story and characters are the best things about the games; great puzzles too. Normally I hate puzzles, but this stuff is fun and challenging; although after playing a couple of the games, you know how the developers think and they kinds of things they like to throw at you, but whatever. I don't think there's a whole lot of character development, but they're interesting.

:D:D:D:D:D:D:D:D