adaliabooks: I'm worried if I play through them completely by the time I get to the last one I might be a bit bored with the concept. I didn't want to just start with the newest games though, as I imagine it would be more difficult to step back to the old ones if you started with a later one
I could see this happening to me, especially in this genre. I'd tackle it like this:
1) If I'm really interested in a series and its story I'd go through them in order - HOWEVER if I'm interested more in the gameplay of a series with a "conjoined" story I'd probably go with the one I most wanted to play. I did this recently with Van Helsing 2 - I liked the setting of the second game (more steampunk) and didn't really expect a deep engaging story so I just played the second.
2) If I think a later game in a series will "take away from" playing an earlier game, that is also regarded as a classic which I want to play, I'll play them in order. So let's say "Part 2" is a vast improvement in every respect over "Part 1" but Part 1 is something I know is also a fantastic game that I'd love to play - I'll probably play them in order because sometimes, it's not easy to go home again.
3) This I think fits your situation the best - a series where you worry about "burn out" - I'd go with the game I find to have the most features I think are interesting - especially with something like a city builder. It's funny you mention Anno, because I've recently wanted to give this one a shot. While I think I'd like the setting (years) of the earlier games (16th - 17th Centuries) clearly I like the look and implementation in the latest game (pardon me if I screw up the year - but I think it's 1701) "the best."
I did this same game about a year ago when I finally decided to give the X series a shot. I went with the third game, but not the standalone expansion. I should have waited a year because they showed up on GoG LOL ;) In my case, the only reason I wish I had started earlier is because I've heard the second game has a solid tutorial (which the third game lacks) but all things equal if I were in your shoes with those games, I'd put my time into the one that has features that are most appealing to me.
I DO also like that suggestion of playing each one for a few hours and seeing which one clicks - but if I had just said that I wouldn't get to make my huge post above ;)