You have two storylines in that collection (if we ignore FRUA for the moment).

Pool/Pools goes, Pool of Radiance, Curse of the Azure Bonds, Secret of the Silver Blades and Pools of Darkness. Hillsfar is connected and fits in around PoR, either before, during or after.

Savage Frontier goes Gateway and Treasures in that order.

Piece of advice:
If you are going to play the whole Pools series with the same party, look up the racials restrictions on class levels in the Pools of Darkness manual first, to avoid getting an unpleasant surprise laters.
Only Humans can reach max levels in any class but Thief.
Also, in Pool of Radiance there's no Ranger or Paladin; they become available in Curse of the Azure Bonds.

Also, consider not trying to take the same party through the entire series. There are many setups that work really well in PoR, but are non-viable later in the series. Also, in CotAB and SotSB, if you import old characters, there is not that much room for them to grow, and much of the fun of RPGs (and other games with growth systems) is seeing your characters get stronger throughout the game.

Going from SotSB to PoD, however, is a good idea, because you get to keep your equipment and can gain more levels than in the rest of the series combined.

One more thing, from what someone posted in another topic, dual-classing right away in CotAB is not a good idea and will result in much frustration; wait until you reach a place to train other than the one in the starting town. (Apparently, this may also be an issue in PoD as well.)

In PoD the main early game place to train is in the Hill Giant Stedding. You can also win a battle against some random monsters in rooms just after the entrance, which not only become a safe place to rest, but give you some XPs for your new fledgling levelers. You may have to fight some random encounters to get there, which may be frustrating, so as always have The Boots of Re available, but it's doable. After you get your new Fighter/Whatever or Paladin/Whatever to level eight or nine or so you should be safe to start the main quest line.

I'd say just start with Pool of Radiance, it's the oldest. If you start with the newer ones going back to the older interface and graphics might not be as fun as the other way around.