First some basics.
1. Guild Wars Prophicies (The first game), full campaign
2. Factions, full campaign
3. Nightfall, full campaign (has heroes)
4. Eye of The North, expansion (has heroes)
5. Bonus mission pack
You can buy 1,2, or 3 first, it does not matter, but you must have 1,2, or 3 (any will allow access) to have access to 4. I do not have 5 so I can't say for sure what you need, however I would not worry with it because 1-4 will keep you busy for a long time.
If you ask the guru forum what to buy first you will get several different opinions. As far as what to buy will be your own decision based on what you like. If you are very interested in the story line then I would purchase them in order from 1-5. If that is not too important the I would purchase Nightfall first and Eye of the North second. My main reason for that is you will have access to heroes, otherwise you will have to play with other people or henchmen. The henchmen generally suck and you run a 50/50 chance of getting in a crappy group of human players.
I bought all of my games from
http://www.plaync.com/us/
Downloading the game is free, but you will not be able to play without a key. The key is really what you are paying for. Its a very easy process, its a pretty fast download, and they will email you a key as Zeb said. They are also running a buy one get on 1/2 off special right now, so its a good time to buy. I have also seen some post about amazon.com having the games very cheap.
Take a few minutes and browse the following websites:
http://www.guildwars.com/
http://wiki.guildwars.com/wiki/Main_Page
There are tons of useful information on these sites, especially the wiki site.
One other quick note. If you buy online you will not get a hardcopy like Smartypants said, but not to worry. If your computer ever crashes all you have to do is download the game again (free) and then use your account log on. You will not loose anything.