As others suggested, Ultima Underworld and the Worlds of Ultima games are almost irrelevant compared to the main games.
Strangely, Underworld II is important.
Underworld II plotwise has no relation with Underworld I but is clearly plot dependent on Ultima VII and the events are also referenced in Ultima VII part 2.
So, for Ultima story purposes you only need to play ..., Ultima 6, Ultima 7, Underworld 2, Ultima 7 part II, etc... and can safely ignore Underworld I and both Worlds of Ultima.
If you want to play them all, others have given you good gameplay orders.
From memory, Underworld I and the Worlds of Ultima games never happened as far as anybody mentioning anything in the later Ultimas. (I never got the chance to ask Shamino what he thought of Mars, for example, and the characters of Underworld I seem to exist only for the purpose of that game)