This one is simple, you start with the first book and continue until you are done.

The book order is: The Bad Beginning, The Reptile Room, The Wide Window, The Miserable Mill, The Austere Academy, The Ersatz Elevator, The Vile Village, The Hostile Hospital, The Carnivourous Carnival, The Slippery Slope, The Grim Grotto, The Penultimate Peril, and The End

I haven't purchased any of the companion books, so I would recomend buying a few of the series before commiting yourself any deeper with the extras books. I will speculate that the companions, if written by Snicket, will be well worth the time and money judging from the authors excellent wit and style.