Bodroid, there is no reading order to Kay that matters, as all of his books are stand alones, except for The Fionavar Tapestry, which is a trilogy (and his first work after his editorial stuff with Christopher Tolkien on JRRT's The Silmarillion), and The Sarantine Mosaic, which is a duology (made up of Sailing to Sarantium and Lord of Emperors).
My personal favourites of Kay's are Tigana, which is the most beautiful book I have ever read, and The Lions of Al-Rassan (which has been optioned for a feature film). The latter is in the same universe/world (very similar to our own) as The Sarantine Mosaic and Last Light of the Sun. TLAR is loosely based on the Spanish re-conquest of southern Spain from the Moors by Ferdinand and Isabella in 1492, TSM is loosely based on the reign of Justinian of the Eastern Roman Empire, shortly after the collapse of the Western Roman Empire, and LLotS is based loosely on Alfred the Great of England, and the Viking invasions. But the histories are merely frameworks. It is the characters that drive the stories.
Tigana (based on medieval Italy) is in its own universe, as is A Song for Arbonne (based on medieval/renaissance France).
Kay is master at using our own history to explore fantasy themes and human relationships and reactions. His research is impeccable. The fantasy elements, except in The Fionavar Tapestry, are kept to a minimum, and of the stand-alones, Tigana has the most fantastical elements. Kay is more or less the creator of his sub-genre, historical fantasy.
Interestingly, all of his novels refer to The Fionavar Tapestry at some point (as a myth), except Ysabel, which is set in our world, but relates indirectly to the events in TFT, and re-uses two of its characters.
Yup, Al-Rassan, Arbonne & Sarantium are the best (for me). <3
