In Alan Wake 2, from a certain point in the game, you can keep "switching realities" and play either as the FBI agent Saga or as the writer Alan Wake.
The game suggests that it doesn't matter in which order you will play their arches, but from the story point of view, there might be: For example, when Alan investigates a gruesome murder in a hotel, he finds out that an old lady has been killed and something important was hidden under the body. When Saga investigates a retirement house, she has to find an old lady and find something that this lady has hidden... which is located in the same type of place as the one where Alan found the body — this shows an obvious connection between those stories.
Based on that, is there a recommended path through the game?