Which one first?
Well, there's a lot of discussion among fans of whether the books should be read in internal chronological order or in publication order. Ms. Bujold sometimes jumps around in the timeline (Barrayar, which is the second book in the internal chronology was actually written rather late in the sequence).
I think Ms. Bujold's writing powers have improved vastly since she began, so you'll probably notice the differences more if you read them in internal chronological order.
A listing of the different orders is given
here.