After having read the Miles Vorkosigan books a number of times, I've really come to appreciate the first two books of the series, Shards of Honor and Barrayar.
Lois McMaster Bujold uses the first two novels to really set up the universe for us before we ever get around to Miles. We probably really want to identify with Miles, and enjoy reading about him, but he really takes up the whole picture.
Between the first two books, Bujold really sets us up for how their space travel works, their weapons systems, cultural differences, the various races at work, etc. These are extremely important factors, and are the type of thing that you don't want getting occluded by Mile's adventures.
Not to mention that understanding who Aral and Cordelia really are not only adds to the later books, but also really gets you into these two really excellent people who you might not really appreciate otherwise. Aral is such a man of honor, divided between the past and the future, whereas Cordelia must stand between Barrayar and the cultural mores of her homeworld. Combining the two of them, in addition to their incredible adventures, really gives you a much deeper feel for who and why Miles is, despite his handicaps.