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Kotor 1-2 then Republic Commando and Jedi Knight 1-2 and finish with TFU.

From the ones I played: Knights of the Old Republic games are distant prequels.
Kyle Katarn's sub-series goes in this order: Dark Forces -> Dark Forces II -> Mysteries of the Sith -> Jedi Outcast -> Jedi Academy
Other than these and Force Unleashed I going before II, I think it doesn't really matter what order you play them.

Kotor is best.
Republic commando is among my personal favourites SW games
Than go with Force Unleashed, they're fun too. The story in the 1st one is good but the game mechanics is more fun in the sequel
IMHO Jedi Knight series today is too old to have fun playing (if you haven't played them as a kid)

the KoTOR Games , then the Jedi Knight games ... and then Empire at war.

Both Kotor are wonderfull rpgs, but they are really old games. Anyway, if you liked Mass Effect - it is something like that.
Republic Commando is really great shooter (and it gives a start of really great book series), but is too short (IMO).

Choose wisely, young padavan.