My name's Alex and I have the dubious distinction of having read all of the Pratchett books, which means this is the opinion set of a total stranger (really all of them, even Once More* *With Footnotes)."Thanks for putting up with the ramblings of a total stranger." Heh. I could say the same thing to all of you guys. So... thanks for putting up with the ramblings of a total stranger.
I have to say that I think you might be missing the best parts, just based on what you've picked up; Small Gods is great, but Monstrous Regiment not so much. If you're more into getting where all the fanatic, cultish followers came from, your best bet is pick up books from before Interesting Times in print order. After that, he had a brief phase with longer, more "serious" SF type stuff, and now he's into a set of things that are hugely dependent on people already kind of getting what he's writing and being committed to the characters and understanding the universe setup. There's also a lot more unveiled straight-up political commentary, which sometimes comes at the cost of better character or plot development.
Most people who I've met who're just starting with the Disc seem to prefer Guards, Guards or Men at Arms as a beginner, with Feet of Clay as a followup; if you're more into wizards and slapstick, Interesting Times and the original six books are probably the most accessible. They set up a lot of Discworld in-jokes, too.
Also, The Unadulterated Cat is pretty much the funniest book on anything to do with cats that I've ever read, and The Bromeliad, which is composed of Truckers, Diggers and Wings, is entirely appropriate and even kind of awesome when you're 10-12. Just a header.
Thanks for putting up with the ramblings of a total stranger. I just really love a lot of Pratchett's older stuff, and the new stuff is... not in the same vein. Thought I'd mention.
And a HUGE thank you to you, Alex, for taking the time to write such a thoughtful, detailed note. If I were still all pregnant and hormonal, I'd probably be all misty-eyed right now.
So there you go. One woman's (or man's) opinion. All you hardcore Pratchett fans probably have your own thoughts -- dissenting or otherwise -- about Alex's critique, and I'd love to hear them. But for the novices among you who, like me, really want to give Pratchett a fair shake but are overwhelmed by his prolificity (prolificness? prolificosity?), I think Alex has given us a solid start.
Edited later to add: And if you want more info to work with after you've gotten off to a good start a la Alex, check out Essy's "cut out and keep guide to every book in the main Discworld series, in order, with which of the character arcs it belongs to, what it was like stylistically, whether [she] enjoyed it or not and whether it's a good intro to the series." (You'll have to scroll down a wee bit, but it's worth it.)
Edited yet again to add a link to this Discworld Reading Order Guide (in handy chart form). It may contradict everything Alex and Essy have told us, but as Nick (who posted it) says, "It looks nice anyway."
*Probably because I have a good female friend named Alex, who rocks, by the way. But if you're still reading, Alex L., I think you rock, too, even if you're a guy.