Personally, I prefer the Watch Books (and starting with "Fifth Elephant" is a bit of a mistake in that regard). I started off with those, checking out a library copy of "Guards! Guards!" I'm not a big fantasy fan as a rule, and read Pratchett for the humor and satire, so the fact that the Watch series are basically take-offs of film noir and police procedurals added to their appeal. I'm not a big fan of the witch books, again perhaps simply due to my sheltered upbringing, though I enjoy the visits to Unseen University, since generally magic is in the background and spoofing academia and inter-departmental squabbles always amuses me (especially the Dean and the poor Bursar).