Welcome to both the Guild Wars universe and this forum. When you have questions, feel free to peek the Newcomer and Questions forum too. It's for anyone with questions regarding Guild Wars, from newcomers to veterans.
Let me start out with some pointers.
Guild Wars 1 and MMO's:
Guild Wars 1, from my experience, proved to be quite different from other MMO's in the sense that most of your adventure takes place in its own separate world. Most of the time you will be in a group, but not necessarily group of other players. You will have access to NPC party members known as henchmen, NPC's stationed in outposts with predetermined skill sets, and heroes, customizable NPC's that will join each of your characters as they progress through the story in Nightfall and Eye of the North. Of course you are free to group with other players, but unless you have friends online or are in an active guild, it may be difficult at this stage of the game to find other players to group with.
The 4 Titles of Guild Wars 1 (wall of text warning, head over to the official wiki page for concise version):
There are four titles dedicated to Guild Wars 1: the trilogy campaigns consisting of Prophecies, Factions, and Nightfall, and the expansion Eye of the North. Each campaign of the trilogy separately purchased can stand alone as one game or be added to an existing account to unlock areas, and the expansion can only be added to an existing account; but like you most people nowadays opt for trilogy and/or Eye of the North to create single account with full access to all the contents. Important: If you plan on linking your Guild Wars 2 account and gain the linked benefits, make sure you have Eye of the North on your account.
The order of release for the four titles are Prophecies, Factions, Nightfall, and then Eye of the North. In terms of lore only, it is optimal that you play through the game in this order as the later titles have references to the previous ones, but this may not be the optimal way to play through in terms of gameplay. The pros and cons of choosing each title as the starting chapter is as follows:
Prophecies - The slow pace allows for slow steady learning and is the richest in terms of storyline, but it is much slower than the other two campaigns. Only core 6 professions are available for character creation. Prophecies is the only campaign where the starter area is exclusive to the Prophecies character and becomes inaccessible once you leave the area.
Factions - Being the shortest campaign, the pace for leveling and story is the fastest of the three, but there has been reports of being too fast for some people to learn the game system well. Besides the 6 core professions, you are allowed to create Factions exclusive professions assassins and ritualists.
Nightfall - Being the last campaign of the trilogy to be designed, it has adequate pace for story and leveling. You can create characters of the Nightfall exclusive professions paragons and dervishes in addition to the 6 core professions. Nightfall is also the only campaign where you gain access to heroes without traveling to different campaign or expansion.
I've seen most recommend starting with Prophecies or Nightfall for their learning pace. What I personally would do first is create a few characters of different professions, at least one from each campaign and play through for a few levels to gain general ideas of the game system and professions. Though this may take some time than simple playthrough, this can later help you choose the profession(s) of your choice. Then I would start preferably with a Prophecies character of preference for the lore and the history.