Honestly, the simplest and most satisfying path is just to read them in the order they were numbered and published. Lemony Snicket is meticulous about his narrative reveals, and each installment builds directly on the mysteries and character developments from the previous one. Trying to jump around would completely unravel the carefully constructed sense of doom and the slow-burn unraveling of the Baudelaire orphans' situation. Book 4, 'The Miserable Mill', picks up right after the cliffhanger of 'The Wide Window', and missing that direct continuity would lessen the impact of the children's desperate, ever-shifting circumstances.
I've seen some fans suggest thematic reading orders or grouping books by guardian, but for a first-time reader, that approach creates more confusion than insight. The series is a single, long-form tragedy, and the author uses each book to peel back another layer of the V.F.D. conspiracy. Reading them out of sequence would make the central riddles and recurring characters feel disjointed rather than eerily connected. The bleak humor and the repetitive, escalating misfortunes rely on that sequential accumulation to achieve their particular melancholic rhythm.
So, start with 'The Bad Beginning' and march straight through to 'The End'. That's the only way to fully appreciate how Snicket crafts a seemingly formulaic plot into something much grander and more tragic. You'll catch all the subtle callbacks and cryptic clues that way, which is a huge part of the fun. The books are relatively short, so the commitment feels more like a steady, grim marathon than a daunting task, and finishing them in order provides the only real emotional closure the series offers.