These are part of a series that didn't quite go according to plan. It was supposed to be a big world-changing event for Ravenloft, but plans changed and the order of adventures was shuffled a bit. Which explains why the actual level progression... isn't progressive. NotWD is the 1st level adventure, for instance.
FoG is okay, playable in most worlds. Lots of "city crawling."
SoH is very nice, if you have a coastal area you want to play in. Some good combat, a few railroady bits, but some good chances to do a bit of roleplay.
ToD is a desert adventure, so it's not as good if you aren't playing near an Egypt-style region. Not to mention it's going to end in a TPK if your players decide to stay for the end bit.
NotWD is my favorite of the set. Great low-level adventure, easily set in any swampy area (though you can cut out the swamp entirely if you want). Some great moments for the DM to set the mood, lots of little spots for fun combat, and you can use the prophecy to whatever ends you want.
The final two modules are really too tied into Ravenloft to pull of anywhere else. It's possible, but it'd be a helluva lot of work. Haven't played or run, but I've heard they're incredibly rail-roady.