For some Steam games, like Titan Quest, the expansion is really just an addon to the original game, and includes all the original content plus more. Thus, even though the game and its expansion are listed separately, if you own the expansion there's really no reason to ever launch the base-game from Steam.
However, for other games, like F.E.A.R. and Deus Ex, the expansion is a completely separate, standalone game. Thus, you'll want to play through and beat the original before ever launching the expansion.
In both of the above cases, the expansion says "requires the base-game to play."
I just got Overlord and its expansion, Overlord: Raising Hell. I'm wondering if it falls into the first category or the second; I need to know whether I should start by launching Overlord, or if I can just launch Overlord: Raising Hell without skipping any content.