There are two expansion packs for Civilization IV, Warlords and Beyond the Sword. Are these two separate expansion packs with unique features not found in either, or is the second (Beyond the Sword) a further expansion of the first (Warlords)? Put differently, if you're new to the game, is there any reason you'd still want to play Warlords (or plain Civilization IV for that matter) instead of going directly for Beyond the Sword?
Beyond the Sword includes all new gameplay elements added in Warlords, including Great Generals, vassal states, A.I. improvements, new Civilizations, etc. The only thing that Beyond the Sword is missing are the 8 game scenarios that came with Warlords.
So basically, unless you really want to play the specific scenarios that came with Warlords, you're safe going straight to Beyond the Sword.