It is recommended to first play the NWN Original Campaign with a new character. The SoU campaign should be played with another new character, since the storyline runs in parallel with the NWN story. Finally, the HotU campaign can be played with the SoU character, since the story assumes you've gone through SoU (NPCs will make references to past exploits).
There is also the Community Expansion Pack, which is free content and not sold for profit as the SoU and the HotU are. SoU and HotU both contain modules that are designed to be playable, while the CEP only contains a module whose purpose is to demonstrate the objects contained within the CEP (it isn't really an "expansion pack" in that sense).