ThexVillain - This is one of those things where I find I have a mixed opinion.
There are newer update patches than the ones on the CDs/DVDs available on the official site that won't work if a later EP (like Seasons) is install before an earlier EP (like Nightlife). In my anal-retentive world, this make me personally prefer this install order:
However, many people say they have no problems if they install the EPs in no particular order. This has not been my personal experience, but I never said I know everything.
EA has complicated this matter by releasing combo sets like TS2 Deluxe (TS2 + NL) and TS2 Ltd Edition (TS2 + BV), so the "purist" method I prefer may not work for everyone.