I recommend playing through the main game then Islands of Ice and Fire. They are meant to be played that way.
The other expansions are meant to be played from different starting points. I think Zarista even reshuffled some of them from how they were originally. (The level requirement/suggestion is noted in all expansion descriptions, though.

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In any case, these expansions:
- Thor's Hammer (new character)
- Hero of Lukomorye (level 23 recommended, a character which completed Islands of Ice and Fire is the best)
- Celtic Rift (level 15 recommended, start with a character which completed the main game)
- Hero of Lukomorye 2 (level 29 recommended, best continued from HOL)
- Macha's Curse (level 40 recommended, continue with a character from HOL2)
- Celtic Queen (level 45 recommended, continue with a character from Macha's Curse)
All expansions are supposed to be played separately, one after the other.
You can "cheat" a little and go to higher level expansions to get some higher level equipment but you might have trouble in some expansions where you start off with a fight and getting back without completing large parts of them might need Recall. It's just for extra fun anyway, it'll ruin the normal progression.