My favorite 1st person Western RPG series! (Don't worry, I love Wizardry and Dungeon Master, too!)
I prefer the Japanese version of Two myself, as I like the combat better, but one should play the PC version or the updated Western Genesis or SNES versions first, if you intend to truly play through the series.
Start with the first one on the NES, as I think it plays the best. The first one on PC Engine CD is not exactly cannon, but try it anyway. The PCE-SCD version of the third installment is excellent, and even outdoes the PC one graphically. Each has their own soundtrack,though. For the fourth/fifth, get World of Xeen, CD version, so you get ALL the voice acting!
Six through Eight on PC are all good, though most like Six the best. Seven sees the introduction of Arcomage!
Avoid number 9!!!! Even with community fixes, it just does not satisfy. I'll leave number ten up to you, as while it tries to be kind of like Xeen, I don't feel the same vibe.
Oh! And don't forget Swords of Xeen, a fan game using the Xeen engine. I wish more fan games had been made like that.