Glad you're enjoying the game. If you'd like to play each DLC in the order of their release, here's a great list of starting areas you should visit, and in which order. Definitely wait until you're done with the main campaign, though.
http://www.reddit.com/r/Borderlands/comments/31o97v/how_do_i_play_the_dlc_on_the_handsome_collection/
In Borderlands, you access the DLC campaigns through the fast travel stations. The starting areas for each campaign are already unlocked when you start a new character, but you should probably avoid them untill you complete the main game. Once you go to one of the DLC areas, you get the starting mission for that DLC.
In Borderlands 2, there are 4 main campaign DLC's. These all contain new areas with a few story missions and some sidequests:
Captain Scarlett and her Pirate's Booty: Starting area 'Oasis'. Seperate campaign from the main game, no real spoilers for the main game story.
Mr. Torgue's Campaign of Carnage: Starting area 'Badass crater of badassitude'. Again, seperate campaign from the main game, no real spoilers for the main game story.
Sir Hammerlock's Big Game Hunt: Starting area 'Hunter's Grotto'. Fairly small campaign, but with a decent amount of sidequests. Contains some spoilers for the main game so you should definately complete the main game before starting this one.
Tiny Tina's Assault on Dragon Keep: Starting area 'Unassuming docks'. Pretty big campaign (personal favorite) with BIG spoilers for the main game.
Next for Borderlands 2 are the Headhunter packs. These are all fairly short but feature a boss at the end that can be farmed over and over again for some decent loot:
T.K. Baha's Bloody Harvest: Starting area 'Hallowed Hallow'. Halloween HH pack.
The Horrible Hunger of the Ravenous Wattle Gobbler: Starting area 'Gluttony Gulch'. Thanksgiving HH pack.
How Marcus Saved Mercenary Day: Starting area 'Marcus's Mercenary shop'. Christmas HH pack.
Mad Moxxi and the Wedding Day Massacre: Starting area 'Rotgut Distillery'. Valentine's HH pack.
Sir Hammerlock vs. the Son of Crawmerax: Starting area 'Wam Bam Island'. This HH pack contains a lot of references to BL1 that you probably won't understand if you haven't played BL1, but it's fun to play nonetheless and features a cool boss at the end.
Other DLC:
Creature Slaughter Dome: You've probably ran into this without knowing it was DLC, but it's the arena found in the Wildlife exploitation preserve. It was DLC for the original BL2 so I thought I'd mention it.
Digistruct Peak Challenge: Starting area 'Digistruct Peak'. An area with a 'challenge' to beat the peak without dying. This area is mostly used to increase your level after you reach level 72. When you complete the course at level 72, you get to overpower level 1. You then restart the game at overpower level 1, complete the course (which gets slightly harder), and unlock overpower level 2. This keeps going untill overpower level 8, which essentially gives you level 80 equipment, although your character (skill points, etc.) will still be as if you were level 72.
As for TPS, the list of DLC is (still) fairly short. As far as I know there's only 2 DLC area's, which are:
The Holodome (similar to Creature Slaughter Dome)
Deck 13½: Starting location for the new Claptrap campaign DLC. Haven't played it yet so I can't tell you much about this one but I'm assuming it contains spoilers for the main game.
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