Every time I've tried to play Yggdra Union I've gotten bored with it. The battle system makes utterly no sense to me and any rpg that uses a card system generally turns me off. I still intend to finish it someday. I've got Knights in the Nightmare too but haven't started it. I don't really get the whole Dept. Heaven thing; are these games just standalone with loose connection (as in cameos and etc.) or are they actually leading up to something big story-wise? Are the other Union games just spin-offs of Yggdra Union or are they "episodes" in the series as well?
Wikipedia seems to think Dept Heaven games are unconnected story-wise, but Union games are spinoffs/sequels/prequels of Yggdra Union and not main episodes.
Supposedly, those "episodes" are numbered based on battle system complexity with Riviera being first.
The Dept. Heaven games are loosely connected storywise but they ARE connected. They all share the same universe and certain characters are present in more than one game in story related ways (not just cameos). My impression is that Yggdra Union happens first, followed by Kights in the Nightamare, followed by Riviera. Blaze Union and Gloria Union are spinoff games and are not part of the Dept. Heaven series.