Adastra, Khemia, and interea. but personally I played interea first before khemia
You indeed have to play Adastra since Khemia's a sequel.
However, it doesn't matter what game you play after Adastra. Interea's a short story focusing on one point of Adastra (in the game, the events happening in Interea are summed up in a few lines). Khemia's a sequel happening a couple years after Adastra! ^^