I'm reading them in the order they were published, myself.
"The Shadow Within" and "To Dream in the City of Sorrows" may be a bit harder to find, as they're out of print, but they're worth trying to get a hold of. I'd try local book stores that have been around for a while (for example, I found both books at my local Barnes and Noble"). "The Shadow Within" reads like an Outer Limits episode in that it's very self contained. It tells the story of Anna Sheridan and the Icarus. "To Dream in the City of Sorrows" weaves in and out of the second season and fills in the gaps between Sinclair's time on Minbar from after the short lived comic series and the third season two-parter "War Without End." It also features Marcus Cole and Catherine Sakai. Both books are exellent.
I just read the first book of the Psi Corps trilogy, "Dark Genesis," which features the ancestors of Lyta Alexander, Talia Winters, and one other character (it'd be a spoiler for the book if I told you). While I haven't read the other two books, I know the second tells the story of Bester from his childhood up until his first appearance on the series, and the third covers the time of his life after the Telepath War.
I've heard that the "Leigons of Fire" trilogy is the best of the bunch. I haven't read it either, but I know it covers the time from the end of season 5 up until either "War Without End" or "Sleeping in Light."
The new trilogy is the Techno-Mage books, only one of which is out. I've picked it up, but only skimmed the first few pages as of yet. I believe it covers the time of the first season of the show.
If you're looking for a place to start, I don't think it really matters. "The Shadow Within" and "To Dream in the City of Sorrows" can be read any time after you've seen season three, and the others after the entire series. It might help to have seen Crusade before venturing into the Techno-Mage books, though, but I don't think it's nessecarry.
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--Alan
"Numfar, do the Dance of Joy!"