[gashatfreak]

With Type Moon, this is generally the best order to play if you want to understand how the Nasuverse's magic system works:

Garden of Sinners introduces a lot of the verse's magecraft system, Mystic Eyes (which plays a huge role in Tsukihime), the Counter Force (which plays a huge role in Fate), among other things. You can start here if you wish.

Witch on the Holy Night expands on mage society's rules (which play a role in Fate/Stay Night), and is a prequel to Tsukihime and Garden of Sinners.

Tsukihime introduces the concept of vampires in the Nasuverse, and expands on the Mystic Eyes.

Fate/Stay Night introduces the concept of Servants, Counter Guardians, and the whole plot is centred on how other mages try to access the Root (a metaphysical plane that is the goal of the antagonist in Witch of the Holy Night and plays a huge role in Garden of Sinners).

That's an extreme oversimplification, but it's a start.