I've DM'd the whole series (well, almost--not quite done with E3 yet). I set it in the Forgotten Realms. Winterhaven is on the eastern border of Cormyr, near Sembia.
Started H1 before 4th edition came out: got the Module as the intro a couple of months before the PHB came out. We had fun with it, tho Irontooth did kill the party. Turned out well as the books were out by then and the players were able to make their own PC's. I added a few things, not much really, but enough to keep it from the slog many seem to think it is. I began sprinkling the previous party's bodies here and there in the adventure..the dragonborn was a skeleton in the prison, the dwarf was the sacrifice at the end, others would appear in later adventures. Kalarel was defeated by being pushed into the tentacle mass thingy.
H2 I had a hard time with, as I'm not the best DM at roleplaying NPC's--getting their interactions down is hard. I had the Halfling from the 1st party end up surviving and being the 1/2ling the party rescues on the way in. Did have a fun time making a special mini for the rolling ball of anialation(sp). At the end, the sage from Winterhaven and the Wizard from the original party were to be used to fuel the ritual. The new party was unable to save the wizard, but did save the sage.
Of note is the next death--the Warlock (tiefling warlock) managed to free the party from the mirror trap room, but died in the process due to the 2 hidden undead.
He was raised.
H3 was a dungeon crawl, plain and simple. It didn't have to connect to the previous modules as it was really outside of time and space. I used that to bring back Kalarel, this time as a Lich--replaced the Human bandits with him and his merry band of undead (including an undead elven archer

) They did not find his phylactery tho. When they escaped, they were deposited over near Baldur's gate..as the next module would be in the troll marshes near by. (and there is some small paladin lead country nearby that I used for the origin of the hero that died in the mod--sorry doing this from memory and not looking it up). 2nd and last death (so far) happened here, when the paladin (not str based) got grabbed by the terrain while everyone else was to far away (the warlock had used a power to trade places with him while next the the BBEG).
P1 is of note mostly as I began using a LCD TV for a map, using maptools. Everyone liked this and I would still be using it if I hadn't broke it

To me, this one seemed more of slog fest than even H3. Troll after troll after troll....
P2 Fun with the drow one. About halfway thru this one, I got fed up with minions being useless and implemented a house rule that stands to this day..minions add 1/2 their level to damage and do 2x on a crit. The end of this one was epic. The party enters what they rightly suspect is the last fight, with everyone down Healing surges (some only have 1 or 2 left, even the Paladin had less than 1/2 his Healing surges left) and most of the party had used at least one daily already. No one was fully healed. They managed to survive (concecrated ground pre-healer's lore errata for the win), but the Dragonborn Sorcerer decided to try to give the sword to Orcus. The Warlock managed to tackle him before he as able to. Due to his actions, the Dragonborn was kicked out of the party.
P3 was good, but not so much for me as a DM, as the party has so much radiant damage, that undead are not really a challenge to them. Here, I began to overcompensate by added creatures and/or uping their level--which only added to the grind. The party almost managed to kill the Shadowdragon BBEG on the bridge in what was supposed to be just a quick fight. Oh, yea, Kalarel made his final appearance, as I put the start of this one back in Winterhaven and he assaulted the party trying to win back Orcus's favor--he had his phylactry with him this time.
E1 Was good for the Paladin of Kelmvor to met his god. But I was still adding levels/monsters to the encounters and things were beginning to really bog down.
E2 We met a leveled up previous party member--the dragonborn Warlord/Sorcerer (the player was a warlord to begin with, but used a rescpec oppurtunity I gave to all to change to sorcerer) Hybrid. They met at a portal to Sigil, and it was fun to have the party defeat their ex-Party member. For this module, I'd finally read somewhere on EnWorld that to reduce grind, you should increase damage and reduce HP..I did that for this adventure (generally adding 2 or 3 die damage and reducing HP by 25%)..this worked wonders. combats were faster, but more threatening. It was great when the paladin got Knocked prone in the final encounter and thought he was going to die..but the party was able to rescue him easily. Oh, and I had Orcus actually drop by for the 1st two rounds of combat..not a aspect of Orcus, Orcus--a powered up Orcus (more damage, some additional powers). But he left when he got word that 'It' is ready at the Forge.
E3 Here I still reduced HP by 25%, but for damage, I just double the static bonuse (so 2d10+9 becomes 2d10+18)...except that any Basic attack must have at least 2d damage (some epic monsters were doing 1d8+x on their basic attacks!). The party Just got to the Forge of Four Worlds, so I figure about 4-5 more sessions and we are done. I've powered up Orcus even more than the empowered version in the module and hope that the final battle is a real nail biter!
Thru it all, I've had 3 players make just about every session, (1/2 elf paladin, human cleric, and Human wizard). One of the player's son (the dragonborn) is there most of the time, tho activities pull him away often. We had a guy join about midway thru TrollHaunt and he's been here ever since (1/2 elf ranger). And our Warlock (tiefling, fey pact) had been here constantly until he graduated college and just moved away.
--he left perfectly for him. In the Red Hold, they were fighting the solo retriever. The Warlock went several rounds either not doing anything or missing. So, he spend his actions to pull out a ring, put it on and use it to teleport back to Cormyr in the middle of the battle. After the battle, we asked when he was coming back, and that's when he told us he was moving (we knew he was leaving at some point soon, he just didn't let us know exactly when).
As a note, I've tried to run campaigns in just about every edition of D&D from 1st on up. I've never had one last even 3 months before this..and we are going on 2 and a half years now...I'm amazed...