Please see
viewtopic.php?f=2&t=8154 and
viewtopic.php?f=2&t=8018 (and there are links in the second one).
To sum it up:
The base game and Islands of Ice and Fire is the main thing. Everything else is completely separate in world/story (because only the base game and Islands is made by us). They are
not "sequels".
The rest is mostly by Zarista Games and they can be categorized into expansions which follow Islands of Ice and Fire (in levels, not story), start at level one or follow one of the previous. You must look into them separately and work it out for yourself. (But you can check the links.) There is a recommended level listed for each expansion.
There is also a few completely separate expansions made by other people.
In my opinion, the most convenient is playing on PC but there is no story/gameplay difference. (There is one (free) expansion not available on PC and there are a few others which are only available on the Steam Workshop (they are also free). I wouldn't really worry about this but if you want to play "all", you should know.)