You may have stumbled upon the magnificent Vorkosigan saga, some of the finest scifi available. Perhaps via the Cryoburn CD, containing almost the entire series for free in ebook form. But there's several thousand pages in assorted omnibus forms. What order do you read them in? Bujold made a handy list, but you'd have to look in each omnibus to organize them properly. And what if you don't feel like reading all of them? Behold a handy list in suggested reading order.
Contains Shards of Honor and Barrayar. Frequently referenced backstory about Mile's parents. I'll be honest, Shards is one of Bujold's early works and it's long, and it gets to be a slog at times. Barrayar was published later, but it's really a direct continuation of the story. It's OK to skip these or read them later, once you're hooked.
Contains The Warrior's Apprentice, The Mountains of Mourning, and The Vor Game. Introduces Miles. It's a decent place to start.
Miles, Mystery, and Mayhem
Contains Cetaganda, Ethan of Athos, and the short(er) story Labyrinth
Contains The Borders of Infinity, Brothers in Arms, and Mirror Dance.
"You see," Mile explained in a hollow voice to the What-the-hell-are-they-talking-about portion of the room, "some people have an evil twin. I am not so lucky. What I have is an idiot twin."
This isn't in an omnibus, isn't on the CD, and is really important. Surprise! Go give Ms. Bujold money.
Miles in Love
Contains Komarr, A Civil Campaign, and Winter Fair Gifts
Miles, Mutants & Microbes
Contains Falling Free (set 100 years before Miles is born), Labyrinth (again!) and Diplomatic Immunity. This is also an acceptable starting point, in my humble opinion.
Captain Vorpatril's Alliance
A standalone title about Ivan You Idiot. Unpublished at the time of writing (edit: It's out!). But what if you've read everything before this point? Like one of Pratchett's auditors, you'll have to stop here, flailing helplessly (but logically!) before preceding. Oh, cruel fate! Etc.
You escaped the logic trap. What are you, a human? A time traveler? Anyway, this is the latest. One of the best. I started here. Read this.
Not on Cryoburn CD. Not essential. Don't buy this unless you've read everything else and absolutely must read more. A collection of early short stories; appears to be a republishing of Dreamweaver's Dilemma (which is out of print) with the last chapter of Shards of Honor.
Weatherman and Borders of Infinity
You may see these when you check Amazon to see if I missed anything. Ignore them; the first is part of The Vor Game; the second is several novella from the assorted books already mentioned above. It's bound together by a few pages of Illian questioning Miles about the curious entries in his expense report for the past several missions. Sci-fi expense reports! Excitement! You're not missing a thing.