I would recommend you get them all, but start with Prophecies. There's no need for heroes. We did fine with them for years until they were introduced. I don't like them actually as they made the game too solo-oriented.
That's why I said for the beginner. I very much loved starting in Prophecies, but not everyone has the patience to stick it out with Prophecies. Yes, it's pretty in pre and even later in post and I pretty much enjoyed starting in Prophecies 3 years ago and going through the motions, learning everything, doing every single quest, etc. In this day and age, people are used to instant results and getting a general feel for the game, which is what NF helps the best with.
Also, the player-base isn't what it used to be and I find people less helpful in towns, which is also where the heroes play a very important part - You do still have the choice of playing with people or heroes, in Prophecies, not so.
Prophecies is the classic start of GW, which every owner of GW must at one stage or another do. You haven't experienced GW without it. I took 2-3 months to
completely go through Prophecies with my warrior. It rocked!
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