Wow, tackling the 'In Death' series order is a classic reader rite of passage. I totally get why it's confusing with all those novellas and anthologies sprinkled in. I'm a completionist, so I read them in strict publication order, starting with 'Naked in Death'. Yeah, it's a lot of books, but the character arcs—Eve and Roarke's relationship, Peabody's promotion—unfold so much better when you catch every short story. The early books have a different, grittier feel that the later ones smooth out, and seeing that evolution is part of the charm.
That said, the publication order list on the author's website or a fan wiki is your bible. Some folks say you can skip the anthologies, but I found a crucial moment for a secondary character in one, so I'd recommend hunting them down. It's a marathon, not a sprint, but totally worth it for the depth.