Catan is a great game. As for combining expansions you could probably combine the first three. Explorers & Pirates ships concept is at odds with shipping lanes in Seafarers. I don’t think it would make for a fun game though.
Combining Seafarers and Cities & Knights is pretty common. However, as you mention, there are a good number of additional rules to follow.
The boxes you need are fairly straight forward if you only want to play the expansion with 3 or 4 people.
| 3-4 Player Game | Required Boxes |
|---|---|
| Catan | Catan Base Game |
| Seafarers | Catan Base Game + Seafarers |
| Cities & Knights | Catan Base Game + Cities & Knights |
| Traders & Barbarians | Catan Base Game + Traders & Barbarians |
| Explorers & Pirates | Catan Base Game + Explorers & Pirates |
However, it becomes both expensive and a bit of a mess when trying to play with 5 or 6 people. In order to play the Catan expansions with 5-6 people you need both the Catan Base Extension, plus the Expansion, plus the Expansion Extension.
It becomes something like this:
| 5-6 Player Game | Required Boxes |
|---|---|
| Catan | Catan + Catan Extension |
| Seafarers | Catan + Catan Extension + Seafarers + Seafarers Extension |
| Cities & Knights | Catan + Catan Extension + Cities & Knights + Cities & Knights Extension |
| Traders & Barbarians | Catan + Catan Extension + Traders & Barbarians + Traders & Barbarians Extension |
| Explorers & Pirates | Catan + Catan Extension + Explorers & Pirates + Explorers & Pirates Extension |
Unless you have a large dedicated group of people, I’d say the 5-6 player expansions aren’t worth it. At least other than the base extension.