1st: you play metro 2033 for the beginning of the whole franchise
2nd: go onto metro last light for the follow on of metro 2033
3rd: play metro exodus for the ending of the metro franchise ( there are 2 ending both very sad )
DLC: play the two colonels 1st and then Sams story after

(dlc for metro exodus are to be played at the end of the game/ after you finished as they include what happens at the end of the game )

! do not play dlc before end of game as they both include spoilers !