Gotta disagree with everyone so far...
I picked GG up at THE LOST & thought it was fantastic. Frankly I found it better than THE FOUNDING, and felt that the plots in THE SAINT tended to resolve themselves very ...abruptly in comparison. That isn't to say I didn't like them, they are prime examples of the BEST of what the 40K universe has to offer with gripping characters & narration.
I found that by starting with the LOSTt & then going back to THE FOUNDING & THE SAINT certain events in the novels resonated more than I think they would have otherwise. As each novel starts with a few chapters summarizing previous events & throughout THE LOST's story arc there is a ton of time spent on characters reflecting on past events & the impact they had on the regiment.
I found that by reading out of sequence I was more emotionally involved in many characters because I was already aware of the importance they had on those around them (Bragg, Larkin, Hark, Cuu, etc)
I can't say for certain this is "the best" way of reading the novels, but I don't think anything is lost by reading the story arcs out of order.