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The books mostly have standalone plots, but you may want to start with Shards of Honor, which is the first in the series proper (I wouldn't necessarily bother with Falling Free unless the others grab you). The publication history is a bit complex - there are lots of omnibus editions around (more at https://en.m.wikipedia.org/wiki/Vorkosigan_Saga ). Ignore the naff covers many of the books come with - they were originally published by Baen in the US, a publisher whose art department never found an image too pulpy for their like...
For intelligent space opera, Lois McMaster Bujold's Miles Vorkorsigan series?