In Chronological order, the series is: (title/omnibus/omnibus)
• Falling Free/Miles, Mutants and Microbes
(200 year gap)
• Shards of Honor/Cordelia's Honor
• Barrayar/Cordelia's Honor
(15 year gap)
• Warrior's Apprentice/Young Miles
• Mountains of Mourning/Young Miles/Borders of Infinity (Collection)
• The Vor Game/Young Miles
• Cetaganda/Miles, Mystery and Mayhem
• Ethan of Athos/Miles, Mystery and Mayhem
• Labyrinth/Miles, Mutants and Microbes/Miles, Mystery and Mayhem/Borders of Infinity (Collection)
• Borders of Infinity (Novella)/Miles Errant/Borders of Infinity (Collection)
• Brothers in Arms/Miles Errant
• Mirror DanceMiles Errant
• Komarr/Miles in Love
• A Civil Campaign/Miles in Love
• Winterfair Gifts/Miles in Love
• Diplomatic Immunity/Miles, Mutants and Microbes
Of this rather impressive list, To truly understand Miles really requires every one except Falling Free. But to appreciate Miles' reaction, one needs only read Warrior's Apprentice, Memory, Komarr, and A Civil Campaign.
Mark's list is somewhat different; Brothers in Arms, Mirror Dance, Memory, and A Civil Campaign. Really, tho', the recaps in Memory and A Civil Campaign should suffice.
Aral is present in all but Falling Free and Ethan of Athos. Understanding him enough to understand the impact is redundant to the other two lists. A Civil Campaign and Warriors apprentice are the two that most define him from Miles' view, and the Cordelia's Honor omnibus is Gravy.
Cordelia is almost always involved when Aral is. Same stories throughout.
Gregor is tricky; He is seen best as "Gregor the man" in The Vor Game and in A Civil Campaign. He's "Emperor Gregor" in most of them from Warrior's Apprentice on. In many ways the whole saga from Warrior's Apprentice on is as much Gregor's story as Miles', albeit told from a Miles-centered view.
Ekaterin Vorsoisson Vorkosigan is in Komar, A Civil Campaign, and Diplomatic Immunity. Her relationship with Miles, Aral, and Cordelia is powerful, and sets up the understanding of some of Miles chatter in Cryoburn, and introduces the kids.
So, this leads to the following reading list:
Brothers in Arms
A Civil Campaign
Diplomatic Immunity (optional but recommended).
Cordelia's Honor (Optional, read somewhere after Warrior's Apprentice and before A Civil Campaign)
There are compelling reasons to read the whole list before Cryoburn.
On the other hand, Cryoburn contains enough that, aside from that event at the end, it can stand alone, but will gain depth from having read the others.