I'd say Honest Hearts first, personally I hated that DLC. The only good thing I liked about it was the fucking BEAR PAW weapon I got. But other wise it's just basically a bunch of tribes fighting. It really has terrible loot, especially for later game players. No to mention that I accidentally shot one guy running at me, you know, cause I was being attacked by 12 guys and thought he was with them. Then the entire canyon hated me and the only quest I had was to steal a map and then leave... I ended up slaughtering EVERYTHING in the canyon and then just leaving. Very confused.
Anyway, next I'd say Old World Blues. Simple, keep the best 'till last, and believe me, you'll need ALL of the levels in Dead Money. Just make sure to get the best weapons possible for Old World Blues, the enemies are bullet sponges. And the dog machine gun. My god, that gun was the best thing that ever happened to me.
Next would be Dead Money, I think my favourite DLC. It is pretty much a draw with Lonesome Road though. Anyway, Dead Money is honestly the best DLC for a game I think I have ever found. It takes the game back to it's roots. You have to survive in a very hostile environment, and believe me, it is one of the most atmospheric and fun DLCs. Also, pants shitting terrifying.
And lastly, Lonesome Road. You could not hope for a more epic ending DLC. It really is a great ending to everything, as it wraps up all of your past and lingering plotlines.
But make sure to make the right choice. That ending. It's gray. So gray.