The Dumarest Saga, 33 Books, Where to Start?
Don't Fear the Book Count
You don't have to read them all.
You don't even have to read them in order. There are three books that are the most important to setting up the series as a whole, and each of these is an excellent book. None of them is something you'll be reading just for background, you'll enjoy each on their own merits. After that you can pick and choose.
The last three books in the series you'll probably want to leave for later as you read other books from the series. Once you feel ready to come to the big conclusion you may read them as you wish without spoiling anything.
The Core of the Series
Book 1: The Winds of Gath
Book 2: Derai
Book 4: Kalin
The Winds of Gath is an excellent book, an SF classic in my opinion. It introduces the character of Earl Dumarest and the hard-knock universe in which he lives. It introduces, lightly, two of the major interstellar organizations that will affect Earl's quest. To be honest, you could skip this book so long as you read both Derai and Kalin before launching into the rest of the series. But you'd prefer not to, believe me.
Derai reveals more of the workings of Earl's universe. Critical among these are the operations of the Cyclan, an interstellar order of surgically altered humans. Also, crucial background on Earl Dumarest himself is presented in this book which explains his ability to perform certain feats later in the series.
Kalin introduces a key element of the plot driving many of the later books. Many of the later books will act as a "spoiler" for this book if you have not yet read it. It explains key motivations behind Earl Dumarest's actions as well as many of the characters he encounters later. If you haven't read Kalin, you'll be missing part of the story.
The End of the Series
Book 31: The Temple of Truth
Book 32: The Return a.k.a. Return to Terra
Book 33: Child of Earth
These books give enough of the end of the story to be spoilers for the rest of the series. If you've read enough of the series that you don't mind "jumping ahead" to the end, go ahead and read them. Otherwise, you'll want to wait.
The Return is the actual conclusion to the series, while Child of Earth contains gap-filler material to round out the series as a whole. Child of Earth may even be safe to read before reaching the end of the series, I couldn't say for sure since I haven't read it yet myself.
The Rest of the Series
Of the rest of the books of the series, most stand as individual episodes of Earl Dumarest's quest. They can be read in any order, or jumped over if they're not available. The book Mayenne deserves special notice, I feel. It is a weak book on its own, but plays a role in advancing the series if you've read the books in anything close to publication order to that point. Jack of Swords also does not stand on its own well. I read it without having read any other books of the series many years ago. I did not think highly of it. Without the underpinning of the larger quest and the background provided elsewhere, it's hard to credit the characters or action in Jack of Swords.
Otherwise, I have found each book of the series a worthy read on its own.