If you're talking proper chronological order:
Trails in the Sky
Trails in the Sky SC
Trails in the Sky 3rd
Zero no Kiseki (not in english) = Trails of Cold Steel
Ao no Kiseki (not in english) = Trails of Cold Steel II
Trails of Cold Steel III (not in english).
So basically, you'll want to complete the sky trilogy followed by the cold steel duology. You won't miss much not playing the Japanese only titles, but if they were in English you could play them before or after cold steel as they take part at roughly the same time period.
Though that is the chronological order, it's fine to start with Cold Steel if you have it, but you will be missing out on slight references (it's set in a different country) and obviously some of the flavour text will spoil the story from Trails in the Sky FC and SC. (3rd is kind of it's own thing).