Play MHFU if you want a pure classic experience. Play Tri if you want a really tightly balanced game. Play MH3U if you want classic+underwater experience. Play MH4U if you want a really impressive roster of monsters. Play MHGU if you have played all the others and want more experimental ways to hunt monsters.

Play Rise if you really liked the MHGU extra combat styles.

Play World if you want unskippable cutscenes, a great base game, but a very divisive expansion due to mechanic changes.