I've always gone with the order of
Blood Omen: Legacy of Kain
Legacy of Kain: Soul Reaver
Legacy of Kain: Soul Reaver 2
Blood Omen 2: Legacy of Kain
Legacy of Kain: Defiance.
Pretty much the order I got them in anyway, and it makes the most sense to me to play Blood Omen 2 there, due to its relation SR2's plot. Its like experiencing the moment it all flashes across Kains mind at the end of SR2.
Although technically, I didn't actually play Blood Omen 1 till after I had played all the others, just due to never owning it, and ended up emulating it, though I had read up on the story back when I was playing SR1.
XYCat: What's open about it? Kain defeats the tentacle god that's been causing all the trouble around and finally becomes the guardian of ballance that he was supposed to be from all the way back in blood omen.
Kain isn't finished. The eldergod may be out of the way, but balance has not been restored. Kain has only been given "hope".
I would like to see Kain's story taken to completion, to actually restore balance and assume his role as guardian proper.