I would play Fallout I or II. II is a bit easier to play, and you don't need to have played the first to get it, and it's probably a better game overall, but if you want to start from the beginning, I recommend playing the first, just so you can have the two.
I have Baldur's gate, and I'm finding it very hard to get into. It's extremely difficult, and the interface is rather clunky. I love my D&D, so I'm sure I will grow very fond of this game in time, but as of now I'm holding off and playing through the Fallout series, which I believe they're making a third game, no?