X, my recommendation for a first Military SF book by C.J. Cherryh would be _Merchanter's Luck_ which really captures the spirit of the series, then ready _Heavy Time_ and _Hellburner_ and the hook should be set for _Downbelow Station_ at which point _TriPoint_ and _Finity's End_ will make sense. _40,000 in Gehenna_ could be read any time after _Downbelow Station_ (arguably it should be read first, since it contains the history of much of the series).
The author's take on this here:
http://www.cherryh.com/www/univer.htm
an Amazon chronology order here:
http://www.amazon.com/C-Cherryhs-Mer.../1SNH9EPP3740B
Excellent discussion of her writing in general:
http://www.dancingbadger.com/c_j_cherryh.htm
William