Whichever one you want to read them in. I first read them entirely out of order (Second-Stage Lensman first, since it was given to me).
Traditionally, the order would be Galactic Patrol, Gray Lensmen, Second-Stage Lensmen, Children of the Lens, reading Triplanetary, First Lensman, and, if you wanted, Masters of the Vortex/The Vortex Blasters afterward. If you don't know anything about the story, and you have one of the editions without the Forward of Spoilers, this allows you to read it and undergo The Reveal as it happens to the main character, Kimball Kinnison.
I happen to like Triplanetary, and since most of the copies of the other books included a long forward that gave away The Big Secrets, I prefer to read it in internal chronological order -- Triplanetary, First Lensman, and then Galactic Patrol and the others. (Masters of the Vortex is in the same universe but mostly doesn't intersect; it's rather like The Horse and his Boy in the Narnia series, occurring sometime in between SSL and CotL)
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Traditionally, the order would be Galactic Patrol, Gray Lensmen, Second-Stage Lensmen, Children of the Lens, reading Triplanetary, First Lensman, and, if you wanted, Masters of the Vortex/The Vortex Blasters afterward. If you don't know anything about the story, and you have one of the editions without the Forward of Spoilers, this allows you to read it and undergo The Reveal as it happens to the main character, Kimball Kinnison.
I happen to like Triplanetary, and since most of the copies of the other books included a long forward that gave away The Big Secrets, I prefer to read it in internal chronological order -- Triplanetary, First Lensman, and then Galactic Patrol and the others. (Masters of the Vortex is in the same universe but mostly doesn't intersect; it's rather like The Horse and his Boy in the Narnia series, occurring sometime in between SSL and CotL)