As someone who loves American Conquest, where do I start, in terms of Cossacks? And there's a Cossacks II? Didn't know that :P
Played it only once (I know, shame on me) almost 13 years ago.
Well it depends what you like to play. Cossacks: European Wars is the first game in the series and includes four campaigns. 16 nations to choose from. There can be up to 8.000 units on the map.
Art of War is a standalone addon that adds two more nations (Bavaria and Denmark), five new campaigns and up to 16 times larger maps.
Back to War is another standalone expansion that adds another two nations (Switzerland and Hungary). It adds new maps and around 100 skirmish missions where you have to do certain things to win. Unfortunately gog does not offer the retail version of Back to War that included Back to War expansion + all the campaigns from European Wars and Art of War which would make the choice what to install easier.
Also one important difference between the games is that in Cossacks: European Wars canon production number is not limited while in the addons canon numbers have been significantly limited to make the game more historically accurate and prevent canon spam subsequently making the game more realistic.