With the exception of Guild Wars: Eye of the North, each of the others is a separate campaign that is independent of the others. Each has their own full skill sets, items, armors, storyline, and individual features.
Prophecies – Pros: A little bit longer story-line, takes times to develop character, get skills as quest rewards.
Cons: Only 6 professions (Warrior, Ranger, Monk, Necromancer, Elementalist, Mesmer). Default henchmen. Fewer “Unique items” (Or so it seems).
Nightfall – Pros: Heroes (Customizable NPC Henchmen), Rich environment, Buried Treasure, 6 Prophecies professions + Paragon and Dervish. Storyline Choices.
Cons: Lots of Running. Having to complete story to go back to certain areas. Quests/Missions w/ Required Heroes.
Like I said, Eye of the North (which comes out next weekend) does require that you have one chapter installed and it doesn’t matter which one.