Craggles (love your sketchpad by the way........)
It depends on where you want to set your campaign but just to share my experience, the first 'module' I bought back (ahem) years ago was Jaiman, which provides a really great chain of adventures in the form of the Sea Drake quest. Including what could be considered a precursor to that, to get introduced to Gryphon College, seek out teh Gryphon Sword, etc. it makes Jaiman a fantastic starting place.
I started that campaign back in something like 1997 and my characters are only now concluding it!
This is because they have had diversions in between each element of the main story which have been a combination of things I have written myself and real Shadoworld modules, such as Norek (Temple of Cay for example), Tales of the Loremasters, Quellbourne, Eidolon, etc.
If you consider the wider range of available resources on top of that there are further opportunities - my campaign is now integrated with the ShadowStone Chronicles so that my characters know Kalen & Jad, interface with Randae, etc. (need the next Chapter Terry!!!)
And next, although it was originally written for low level characters, my group will be embarking on a turbo-charged version of the Grand Campaign (available for download on Terry's website or the ICE website I think) as they go on to seek more of the Crown artifacts.
So to echo much of what other people have written all of the modules and resources are not linked together but as the GM you should feel free to do exactly that to serve your own purposes and fuel your creativity!
Two notes to finish:
1) Not all the moduels are considered 'canon'! ther eare various discussions about this on the forums
2) Each new module tends to extend the timeline therefore each new module tends to be set a little later than the previous ones - something to watch out for!!
K