good place to start with Gene Wolfe: either the middle or bottom left of my signature
Those are respectively, depending on the edition you can find-
The Book of the Long Sun (LS)
Litany of the Long Sun (this is LS 1 & 2 in one book)
LS1: Nightside The Long Sun
LS2: Lakeside The Long Sun
or
The Book of the New Sun (NS)
Shadow & Claw (NS1 & NS2 in one book)
NS1: Shadow of the Torturer
NS2: Claw of the Conciliator
each of these "Books" (ie, the whole epic of each story) consists of 4 parts. These days, you can find editions consisting of Part1&2, Part3&4, for both epics.
Long Sun and New Sun are loosely (but importantly) related.
The Book of the Short Sun is a direct sequel to Long Sun, and should be read after it to make the best chronological sense.
I realize this may sound confusing and use the words Book and Sun a lot
but trust me, it's very, very worth it.
To summarize, read them this way:
*Shadow & Claw (NS1&2)
*Sword & Citadel (NS3&4)
Litany of the Long Sun (LS1&2)
Epiphany of the Long Sun (LS3&4)
On Blue's Waters (SS1)
In Green's Jungles (SS2)
Return to the Whorl (SS3)
*It doesn't matter if you read these first or last but the rest make better sense in order