You want to slowly go through them. In my opinion you should buy Vanilla and TBC only if you want to play a Blood Elf or Draenei as your first character. If not just buy Vanilla.
When your around...45+ Buy WoTLK because in the next 10 levels you'll be able to create a Deathknight.
It kind of gives you a chance to explore some of the main area's that are in each expansion xD without rushing into it.
