Well I'm going to buck the trend here by saying that I've read, and more to the point bought, every single book in the Vorkosiganiverse, and LMB is one of only three authors whose books I buy in hardback as soon as they're released. (The other two are Sir Terry Pratchett, and Jim Butcher)
Thoroughly recommended, if you like SF tempered with a lot of humanity and angst: I once saw them described as "If Dorothy L Sayers had written SF, this would have been the result", and certainly A Civil Campaign reminds me very much of DLS.
The best thing to do if you want to read the whole saga, Coragem, is to buy the hardback edition of Cryoburn. This comes with a free CD which has just about all the Miles stories on it in most ereader and PC formats.
But don't just take my word for it - just look at the awards and nominations the Saga has picked up...
Falling Free – won the Nebula Award for Best Novel of 1988; nominated for the Hugo Award for Best Novel in 1989
"Mountains of Mourning" – won the 1990 Hugo and Nebula awards for best novella
The Vor Game – won the Hugo for Best Novel in 1991; nominated for the Locus Award for Best Science Fiction Novel that same year
Barrayar – won the Hugo and Locus Awards in 1992; nominated for the Nebula Award for Best Novel of 1991
Mirror Dance – won the Hugo and Locus Awards for Best Novel in 1995
Cetaganda – nominated for the Locus Award in 1997
Memory – nominated for the Hugo, Nebula, and Locus Awards in 1997
A Civil Campaign – nominated for the Hugo, Nebula, and Locus Awards in 2000
Diplomatic Immunity – nominated for the Nebula Award in 2002
Cryoburn – nominated for the Hugo Award and Locus Award in 2011
Enjoy!