Which order should I play these in? I know they are not all directly connected, but which order is the best way to play them?

Apart from playing Baldur's Gate before its sequel, and possibly Icewind Dale before IW 2 as well as Neverwinter Nights before NWN 2 (those two titles have very little in common with their sequels apart from the setting though, so there's no real need to play them in order), you can play in any order.

It's just a matter of preference really, they're quite different games, even those that are D&D based RPGs.
Planescape: Torment is mostly story-based, while both Icewind Dales and Temple of Elemental Evil are very combat-focused.
The BG games are a mix, and so are both NWN games. But the NWN games are much more multiplayer and mod based, so they can be anything, really, depending on the module you're playing.
Demon Stone is a hack&slash game, while Dragonshard is a RTS. Both are pretty mediocre games imo.


If you don't know anything about D&D rules, then I'd advise you to start with either Planescape: Torment, where combat isn't really important and you can get by even if you suck at it, or Neverwinter Nights which actually takes the time to explain the D&D rules well (the 3rd edition ones anyway).

Whatever you do, don't start with either Icewind Dale games, because they feature hard fights while mostly taking for granted that you know the rules, or Temple of Elemental Evil, which is even worse, since the rules are even more complex.