Heretic is... not my favorite Doom Engine game. It really is pretty much a Doom fantasy TC, and there's nothing wrong with that, but I don't think the design stands up to the original, level-wise. It's just not quite as fun. Pick up the original Doom first, IMHO.
So, for posterity, here is Thoth's Definitive Commercial Doom Engine Game Review:
-(The Ultimate) Doom: The game that started it all. Doom holds up amazingly well to this day... once you rebind the controls so that WASD works and lookspring is disabled. But other than that... man, this game is good. It looks good, it plays good, it just feels good. And so much of the level design is just rock solid. Especially anything John Romero touched. That man is a master. (and he's putting a new levelpack out for the game soon, by the way).
-Doom 2: Doom 2 introduced a lot of new stuff. Chaingunners, Pain Elementals, Hell Knights, Mancubi, Revanents, Arachnotrons, and, of course, the amazing Super Shotgun. But sadly, I feel the design declined. Some of these levels are just exercises in frustration, and only a few of the 30 are really that memorable. The Icon of Sin is an exercise in frustration to beat, too. as in, I've never won it. However, the maps are still mostly solid and the game is pretty fun. Most of all, this is the game that most of the fantastic Doom mapping community uses as the base for their levels. That alone makes it worth a buy, even if the game was awful (it isn't).
-Heretic: Okay, calling it "just medival Doom" is unfair. Heretic also added an inventory system, its weapons were slightly different, it had new enemies... the problem, again, comes from the overall design. Raven always felt like id's B-team, and the levels are just a little less clever, the spritework just a bit less evocative, the game just... a bit less *fun*. It's still good, but less so.
-Hexen: Heretic was still more of that good-old Doom style shooting, albeit with a few new tricks in there. But nobody can say that Hexen is more of the same. You got to pick one of three classes, and you could jump, right off the bat. Polyobjects (level elements that move horizontally) and an actual scripting language as well as numerous other under-the-hood enhancements to circumvent the Doom Engine's limitations and add new functionality mean that Hexen doesn't look or play like any Doom Engine game before it. The world is more dynamic, and for once we're not just going level-to-level: there are hubworlds, and you may need to go back and forth between levels, or even go back into the same level from another starting point, slowly unlocking more and more levels. The item system has been expanded as well, allowing you to carry around key objects and do some more puzzling, and those puzzles, as well as combat that feels slower and more brutal, really set Hexen apart. Annnd... I really don't like Hexen much. Don't ask me why. I just don't. It's alright, but... no.
-Strife: Now Strife, while less technically advanced, is a much better game than Hexen in my opinion. It actually has a story, a dialogue system, not everything's trying to kill you, you can still jump... did I mention there are upgrades? And sidequests? And a (slightly) branching story? And a kinda-sorta stealth system? This game is great. Also, if you buy Strife (you want "Strife: Veteran Edition" not any of the unrelated games called Strife) on Steam, it doesn't play in dosbox, but actually in a modernized source port, and it actually includes a ton of content left on the cutting room floor (including a full multiplayer mode!) in it. If you have to buy one doom engine game that isn't doom... buy this one.
As for how to play these games... I don't endorse playing through DosBox like Steam does by default for most of them. Strife comes with a pretty killer source port, but for the rest of these, I suggest grabbing a sourceport from the internet, as they run better, are better supported, and tend to have more features than the original exes. GZDoom is the default suggestion nowadays: it's compatible with any doom mappack or mod you care to download (including the (in)famous Brutal Doom), runs all of the games mentioned above, and will automatically find game datafiles when you get them from Steam, so you don't have to do anything extra. For the true purists out there, Chocolate Doom (as well as Chocolate Heretic, Chocolate Hexen, and Chocolate Strife) plays these games the way they originally looked on DOS, but without all the bugs and glitches and nonsense. So yeah.