Agree with MarcVenice and some of the other posters. Prophencies will be the cheapest, though it is still $36 at Walmart... ridiculous as it is over two years old! Factions and Nightfall have held their price too high as well. I don't know why they have kept GW priced so high. It's been too long and I think they are turning off buyers by not dropping the price. They finally broke the four million copies sold recently, and but that includes all three games (before EotN), and you know a lot of them aren't active players anymore. Drop the damn first game to $20, Factions to $30, Nightfall to $40 or something!
Prophencies is quite good all around and you'll want to start with it if you care about the story. I don't think the graphics engine received any big changes between the three games; only the art style is really different. If you like the trial and think you'll play a lot, I'd find Prophencies for as cheap as possible, or consider Nightfall, and hold off on the expansion since it's for level 20s and you might as well let it drop in price while you see if you like the game enough and get characters to 20.
nefariouscaine: I'm curious how that trial disc works out for you. My roommate recently bought trial discs for GW, WoW, and FF Online as they were only a couple of bucks each and he was finally getting a computer to play PC games with. However, the GW trial disc seemed the most gimped, and it was the most expensive even! The WoW trial is for 14 days, and they've been offering free keys at times for that trial for a while now. GW is not even an MMO yet the trial is only like a 10 day/10 hour trial, whatever comes first! The disc does come with all three games, but I'm not sure if you get 10 hours for each game. 10 hours isn't much at all for one game, and certainly wouldn't be worth it to split 10 hours trying all three games! Plus there is restrictions out the ass.