Something all GW players should know: gw.gamewikis.org
As for the differences between starting in a campaign or another.
In Prophecies, the going is slow for a while. You start in Pre-Searing, a beginner area where you will learn about the game mechanics and such. Once you leave Pre-Searing, you can't return to it. In Post-Searing, you have the missions, more quests, more skills. It will take you up to the 15th mission or so to get to level 20, and that's about halfway through the Prophecies campaign.
After that (once you're level 20) the game actually starts. ^_^
In Factions and Nightfall, there is an island set apart as a "Beginner zone" You are able to return to these islands once you get off of them. On both islands, you gain experience much faster than in Prophecies, and by the time you get off the island you are level 18-20. The main action in both Nightfall and Factions is for level 20s.
You don't have to get a character to level 20 in all three games. Once you unlock the port area of a campaign, you can travel to the other continents. In Prophecies, this means Lion's Arch. In Factions, it's Kaineng Center. In Nightfall, it's Consulate Docks/Kamadan (I think xD).
So say that your Nightfall character has unlocked the docks. You take a quest and it will allow you to travel to Tyria (Prophecies) or Cantha (Factions). After that, you will be able to switch between those two continents simply by using the Boat icon on the map.
I am not that into pvp, but I understand that there are some reward points you can get (by playing Heroes Battle or such) and you can exchange those for items. Since all your characters on your account share the same Xunlai Vault (storage box) you can easily transfer them from one to another. If you want to trade the item, or make it useable for another character, DO NOT customize it. That will make it usable only for the character it's customized for.
I hope I answered your questions ^_^
EDIT: Something I completely forgot. Nightfall has Heroes.

You can get them on characters from other campaigns, though. Just unlock the port and go to Kamadan. The first quests will give you 3 heroes (2 monks and 1 warrior, IIRC) and you can get a Ranger or an Ele pretty quickly after that. They're all you need to make your way through any of the campaigns.