I'd recommend starting with this game, as the older games might be too archaic to just dive into without some sort of preparation. And this is a good introduction anyway.

But as to comparisons, I like the world and game systems in Pillars a lot more than the older IE games. I think Forgotten Realms (where the original IE games, besides Planescape of course) is a complete bore. And second edition AD&D was kind of awful with dumb shit like THAC0, weapon and armor restrictions, alignment, and many horrible classes (all of the classes in Pillars are really good by comparison). Also the companions are all pretty great.

On the other hand, I think BG 2 has a much bigger scope and a much better story. And while some of the characters are just awful, there's so many memorable ones that it makes up for it.

BG1 is a bit different. It's smaller and more of a low level campaign. In many ways I prefer it to BG2, just because I kind of found BG2 overwhelming at times in Act 2.

I never really tried IWD. I was turned off by the aspect of making companions instead of recruiting story companions because those interactions were some of the best parts of the game.

Also of the games you mentioned, I'd say that the BG games are a lot closer to Arcanum than NWN. NWN was essentially a toolkit for dungeon masters and modders that shipped with a barebones campaign that was awful, it failed imo because people thought it was going to be a continuation of the story based games in the Infinity Engine games. When really it was an homage to the original NWN (a MMO on AOL) so was obviously always going to be heavily geared towards multiplayer.