Valve experimented with episodic games with half life. The idea was to release small, couple hour episodes as a continuation of the story frequently, instead of waiting a long time to make a half life 3.

Clearly that didn't happen.

What you need to know is that it's more campaign for half life 2. If HL2 is a movie, episode one is the first episode of the TV show. Smaller, but still good.

Half-Life 2: Episode One is a direct continuation of the story of Half-Life 2. Similarly, HL2: Episode Two continues where Episode One leaves off.

Valve originally planned on releasing a series of episodic entries in the HL series, two per year if I remember correctly. However they were never able to meet this schedule.

Episode 1 is continuation of the story started in Half Life 2. There's a follow up, Episode 2 as well.

Play them in order: HL2, HL2 EP1, HL2 EP2.

If they use a zero-index numeral system, then Valve does count to 3...?