I also concur on the NWN1 modules. Also, download Twilight and Midnight for purely excellent insight on how to play a real paladin, not just a Holy Roller.

As for the P&P version, you already know how to play NWN, so getting into D&D is easy. Pick up the Forgotten Realms campaign book, and a few other FR modules such as Races of Faerun and (my favorite) Magic of Faerun. Player's Guide to Faerun updates the campaign book to 3.5 ruleset, so if you play 3.5, it's pretty much a requirement.
Also, I suggest picking up Ravenloft, since that is one of my favorite campaign settings, second only to Forgotten Realms and Planescape.

I've never really played WH Fantasy RPG, but if you want gritty P&P, with props to the olden days of AD&D (1st Edition), find a copy of Hackmaster (made by the same people that did the Knights of the Dinner Table comics). Beware, it's not for the casual reader. The manual is thicker than the D&D3.5 Player's Handbook and Dungeon Master's Guide combined.