Excepting the Beka Cooper Trilogy (which is set some centuries prior the rest, and thus may be read at any time) this is the order I recommend reading the books in the Tortall Universe: Song of the Lioness Quartet, Immortals Quartet, Protector of the Small Quartet, Daughter of the Lioness Duology. I recommend starting with the Song of the Lioness and saving Beka Cooper for last, as they are much heartier than Pierce's older stuff. The Circle of Magic books are in a different universe and I'm not very familiar with them, at least not enough to give advice.
The Circle of Magic books are in a different universe and I'm not very familiar with them, at least not enough to give advice.