For your first time through, I'd say experience them vanilla (from what I can recall, the base steam versions are all pretty stable).
The series is balanced around you playing on the hardest difficulty (Master), I highly recommend you start out on that difficulty. Specifics on why: Enemies scale with the difficulty, they will literally get smarter the higher the difficulty is. They will also receive the same health decrease as you do, meaning they are just as vulnerable as you on higher difficulties. Easier difficulties make everyone a dumb damage sponge, whereas the higher difficulties equalize the playing field and the deciding factors are your skill and preparedness for the encounters.
You shouldn't skip any of the games since all of them are excellent in their own ways.
Here's a guide to the series along with mod recommendations :
http://steamcommunity.com/sharedfiles/filedetails/?id=121125400