Anyone else get emotionally attached to the Companions more than the Heralds sometimes? Rolan, Gwena, Yfandes... they're characters in their own right. The order you read affects which Companion you meet first and who becomes your favorite. That's a weird little side effect of reading order no one talks about.
The most underrated starting point is actually her Bardic Voices series, book one 'The Lark and the Wren'. It's a zero-to-hero story about a stubborn street musician who literally charms monsters with her music. The magic is all music-based, which is unique and beautifully described.
It's also set in a world with a rigid class system, so there's great social conflict. It's a complete story that opens up a bigger world. If the idea of magic being channeled through art and performance appeals to you more than psychic bonds or elemental spells, run, don't walk, to this book. It's a masterpiece of a different color.
My friend got into them by reading 'Owlflight' first, which is the start of the Owl trilogy, set in a different part of the world. She loved it and then branched into Valdemar proper. There's no gate here.
Her adult psychological thrillers are the main draw for most. I'd recommend starting with 'All the Missing Girls' because it put her on the map, then just follow your mood. Each book has a similar tense vibe but a unique setting.
Her collaborations are a whole other can of worms. Books co-written with James Mallory (Obsidian) or Roberta Gellis (the Heirs of Alexandria series) exist in entirely separate worlds. So if you pick up a co-written book, assume it's not connected to Valdemar/Elemental Masters/Five Hundred Kingdoms unless explicitly stated.