Been playing this again recently (waiting for the next issue of CoH/CoV before I reactivate my account there).
Nightfall is great for the Heroes, that's for sure. The storyline is a lot more evident from the beginning of the game than it is in Prophecies, but it seems to kind of become less so once you reach the mainland (in my experience- I'm only about halfway to 2/3 done though). Prophecies becomes much more story oriented at the end of the game than the beginning, although there is a weird part around when you leave Kryta that you kind of have to stumble onto what you're supposed to do (the Ascension bit isn't, as I recall it, very clear).
Factions is worth buying just for the visuals, IMO. Such a gorgeous game- the first section is awesome enough, but once you get to the city, and the undercity- amazing. Haven't gotten too far into the story on that one yet, though (I started playing Factions again the other weekend during triple xp time). Factions is the last one I purchased, hence my being behind.
I'm not planning on purchasing Eye of the North until I've either finished one of the others (likely Prophecies, I've only got 3 missions left), or before October 30 (when you can get the bonus historical mission packs if you buy it from their online store). On that note, does anyone know offhand if you purchase the online version- can you burn it, in case you need to reinstall or uninstall?
The Heroes are definitely better than the other NPCs. I haven't done much with PVP yet, though it's an area I'd like to get involved with more- I just need to unlock a (lot) more skills (especially gold skills) before I can even get a decent build.
Which is one thing I like about GW- there are so many aspects to it. You can just play normal, enjoy the story on its own. You can play with others, you can farm and craft weapons and armor if you want and trade, you can go hunting for all the skills and elite skills, you can PVP- there's just a ton to do, and it's all free to play online.