Make sure you have Broken Steel loaded first, so you have the level cap increased to 30.
Other than that, there isn't really a specific, or recommended, playing order. I'd say Point Lookout may be a bit challenging when you're at lower levels, so maybe leave that one til last. Maybe start with Operation: Anchorage and The Pitt, just cause the gear you get can be pretty useful early on. Mothership Zeta gets you some nifty alien weaponry too, which would help a lot on the Point Lookout DLC.
My personal order...
Operation: Anchorage - The Pitt - Mothership Zeta - Point Lookout - Broken Steel