For the most part, missions from diferent factions are happening almost simoultaneously. However, I would suggest Empire->Clans->Undead->Legion; the actions of one campaign have effects on the experience of the other factions, and I think the Empire one, because of its wide scale, is the one which best shows the scope of what's going on allowing thus to better set the action of the other stories. Dwarves are rather misterious while playing with humans, so it's interesting to see their angle; same goes for the Undead, which suprisingly are pushed by the bloodlust of a vengeful widow in a quest for vengeance which fills some gaps in the previous campaigns -Legion are the meanest evil guys, so it makes sense to leave them for the end, the other side of the action.