I've never been able to figure out where to start either, though I bought the novelization of the current movie and am eyeballing a prequel of three short stories of the three main characters. Never say I don't throw myself into a fandom!

Favorites:
The Vorkosigan Saga by Lois McMaster Bujold
Honor Harrington books by David Weber (though they drag a bit far into the series, and I've not finished yet, but I am part of the fangroup, so!)
The Valor series by Tanya Huff.