I bought on Steam both XCOM Enemy Unknown and its expansion Enemy Within. When I launch the game it lets me choose if I want to play Enemy Unknown or Enemy Within.
There is any reason to play without the expansion first?
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You should play Enemy Within.
The expansion simply adds new upgrades, options, mission types, etc. to the base game; the basic story progression does not change. Thus, there's no compelling reason to play Enemy Unknown if you own Enemy Within, unless you really don't like something it adds to the game.