I would recommend going in order if possible; it's not strictly necessary, because they're not strongly story-arced, but it does work better that way, because they are revealing some character stuff throughout.

Ghost Light is fantastic, but it definitely makes Fenric look straightforward. (Partly because the version that was aired was about 25%+ shorter than they'd planned, so it moves damn fast; partly because it's sort of an elaborately woven-together story anyway. Fenric is really a very classic British WWII drama at its core, despite all the vampires and added genre nonsense, but Ghost Light is one-of-a-kind.)