There are a few different series of games. Within a series, you should play the games in order.
For example, the Pool of Radiance series:
1. Pool of Radiance
[Hillsfar goes here, but is optional.]
2. Curse of the Azure Bonds
3. Secret of the Silver Blades
4. Pools of Darkness
That's one series.
There's also the Savage Frontier series:
1. Gateway to the Savage Frontier
2. Treasures of the Savage Frontier
And, of course, there's the Eye of the Beholder series.
Each series is separate from the others, but the games within a series should be played in order.
I could add that most of the Infinity Engine games (Baldur's Gate, Icewind Dale) also take place in the Forgotten Realms setting, and BG1 is meant to be played before BG2.
Additionally, while the Savage Frontier and Eye of the Beholder games can be played through with a single party pretty well, do not expect to play the original (Pool) series through with the same squad. Indeed, it's likely only a couple of characters are going to take the ride all the way through to the end, because -
* Paladin and Ranger don't become available until Curse and there are significant advantages to both (Paladins can, depending on game and version, usually afford you the ability to personally command NPC party members; Rangers are probably even more useful, because of the damage bonus against Giants - the Fire Giants in Pools make Rangers especially to be thankful for. There's also the fact that Rangers are the only ones who can dual class to Magic-User and be able to cast spells in armour, although the usefulness of this deteriorates with time due to Bracers and stacked Protection items being in the long run superior, and shields/helms do not count as "armour" for purposes of restricting casting).
* Also Fighters don't transfer well from Pool of Radiance unless you have a hex editor handy, due to the bug that scrambles Strength scores when an imported character that had 18(#) Strength is subjected to any Strength altering magic. (The +1 Con from the Manual of Bodily Health in Pool seems to have problems as well if you try to combine the 19 - or 20 for a Dwarf - Con with the +1 Con/-1 Cha girdle in Curse, FWIW)
(Note: I'm still not sure if this glitch continues with a character through the series if not triggered - i.e., if you import a Fighter with 18(#) Strength from Pool into Curse, then carry through Curse without any alteration in Str, then import the same character into Secret, will they still glitch when they first receive Str altering magic? Probably easy enough to test, as a character could simply be imported into Curse and then on to Secret without having to actually play any of Curse first. Heck, they might still have more XP than a fresh Secret character - Pool fighter cap is 8 so up to 250,000 XP can be meaningfully transferred and fresh Secret toons only get about 200,000 ...)
* Because of the very low level limits in Pool and the fact that you start from scratch, the demihuman multiclasses are especially useful there; however, apart from Fighter/Thief and Fighter/Mage/Thief combos, they lose steam rapidly afterwards due to level limits. The Cleric/Fighter/Mages that dominate the Krynn games are almost worthless beyond Pool, as Half-Elves (the only race able to do this combo in the FR games) are capped at a mere 5/8/8! Even Fighter/Mage/Thieves are limited - Half-Elves can only reach 8th level Mage, and while Elves can reach 11th, the fact that they cannot be raised from the dead becomes a major liability in Pools where instant kill effects become frequent (in Curse and Secret, they largely come from poison and petrification effects which elves can still be cured of, but in Pools a lot are straight instant kills). Fighter/Thieves can be useful in all games (especially Dwarves, who can have 18(99) Strength which dovetails well with backstab, although the 17 Dex cap means a 5% greater vulnerability to being hit compared to other races, and level draining undead are frequent in both PoR and PoD), but the Fighter import issue remains a problem unless you start a new one in Curse or later.
Ultimately, it's likely that the only characters that come all the way through all four games are probably single classed human spellcasters (which you probably are only going to have 1 or 2 of in your initial Pool party ...).