In what sequence should I play Baldur's Gate, Icewind Dale and Planescape Torment so I can transfer my character?

It's not possible to transfer a character between the various series. While you can and should go from BG1 to BG2 (And I'd highly recommend using a mod such as Tutu, or the newer Enhanced Edition to take advantage of BG2s more powerful and flexible character creation for BG1), Icewind Dale II uses a different variant of the D&D rules (3rd edition to BGs/IWD's 2nd), and Torment relies on your character being The Nameless One, with a very specific history and set of skills.

The closest you might be able to come is using character editing tools like Dalekeeper to alter an IWD character at the start of that game - but since you will finish BG2 in high epic levels, that would render IWD... somewhat less than fun or challenging.

As far as a gameplay order; play the various series in sequence, but beyond that, it shouldn't matter too much. Do note that Torment plays somewhat fast and loose with rules that you might become used to from the other titles (it's not complex, but it is different), and as noted, IWD2 uses 3rd Edition, which is very different.

I know this is an old topic, but

I recommend playing Icewind Dale 2 first, it uses the most advanced rules and you get to take advantage of better features. its a fun game and its shorter then the Baldurs Gate saga.

After that you will probably want to play Icewind Dale 1 to experience that story as well. The two games are set in different times with different characters.

After that try some of the older games. play Baldurs Gate 1 before you play 2 though since you can use the same character and start 2 at the level you finished 1 at.

And last I would play Planescape since its not even in the forgotten realms setting and its an older game as well as being turn-based and not combat intensive like the other games. its more like Ultima or something, you have to go around and answer questions and find clues. also it's the oldest of the games so it has the worst graphics, but they say the story is great.