I'm one of those writers that enjoys carrying characters and storylines forward. (Kinda like Bruce Cordell, whose policy is to carry forward one character from each book to the next—always a different character, mind!) All my books are stand-alones, so you don’t have to read them in any order—and none of them require any sort of extracurricular reading.
*IF* however folks are curious, here’s a brief run-down of the connections between each work, so you can pick a reading order with all the facts!
 “The Hunting Game,” Realms of the Dragons 2: This story contains no references to any of the others!
 Ghostwalker: Brief reference to , though it’s very subtle and does not otherwise affect the book. The novel is also referred to (again subtly) in  and .
 “The Greater Treasure,” Realms of the Elves: This story contains a character (the Fox-at-Twilight) who reappears in  and . She is very different in each piece, representing her varied nature—this story represents her light and whimsical “in-control” side.
 Depths of Madness: Twilight (from ) reappears here, this story presenting a vision of the character cracking under pressure.
 Downshadow: Slight reference to  (though it's very subtle) and Twilight (from  and ) reappears as a minor character. It's a hundred years advanced, so the character's gone through a lot of changes--the tie is only really helpful to see what she used to be like, back in her adventuring days. This is a notably darker and more tragic conception of the character.
 “A Body in a Bag,” Realms of the Dead anthology: subtle (one-word hint) reference to , but it’s subtle enough that I haven't yet had someone identify it. :)
 ???????????: My next book from WotC. Who knows what connections it may hold?
So there you have it.
You shouldn't feel constrained to any particular reading order--go ahead and read them in whatever order you like!
One thing you should definitely do is check out this page on my blog, which contains links to three totally free webstories that I wrote based on my novels (one for each). They're companion stories that can be read before, during, or after each of the novels without spoiling anything major. The idea of each is just to enhance the experience of the novel it's tied to: http://eriksdb.livejournal.com/190872.h