drealmer7: From what I've gathered myself (not played, but looked stuff up, just a little as to not spoil myself) there is a continuation of the overall "world story" and developments and a growing of the atmosphere and locations that make progressive sense when played in order. But I'm not sure how much the individual narrative is affected, but for me, I'm completely anal about playing series in order, even if just for the littlest of things that enhance the games but aren't huge plot-line continuations. To me, these are definitely games that should be played in order, but I can't attest to the importance of it or how much it might matter to you, obviously someone who has played both will have more input.
mrkgnao: I recommend you play them in order. They have the same player-character and the second takes place chronologically some time after the events of the first (specifically, after one of the game endings, regardless of the ending you chose at the end of the first game).
Thank you for the answers. I think I will decline the game then. I normally play game series in strict order. I might have made an exception when it would just have been the same world, but with another character and events that are not directly connected to the first game.
Would be unfair to accept the gift and just put it in the backlog (untill I own the first game), while another good Gogger might want to play it right away.