Story wise, does it matter?  
 
Edit: Oh shit, I think there's a similar thread to this. 

Although, that question wasn't really answered in the thread. Whether the order of the story is important. 

@Aegon: Play the games in the order they were released. That's the order they intended people to see the story in.

No.

You don't really need to play the first one to understand the second one, since it's more of a sidequel than a proper sequel and there is some brief exposition that sets up the game... But I would still suggest you play them in order.