I'm with JSWolf - if I'm reading a series or even loosely connected books, I want to read them in order. And the market tends to support me - early books in a series are usually the cheapest.
I'm curious though - does the speed that you read affect your opinion of series? I love to read series and will often reread an entire series when a new book is about to be released, so I can read it with the other books fresh in my mind. I've got friends who see that as too much of a time investment. As an extreme example, some friends will take a month or so to read something like a Wheel of Time book. A complete reread of the series was simply too much effort each time a new one was released. I'll read one of them in 3-4 days, so it doesn't feel like such a major effort.