The order is fragmented into series of characters and single books...
You start with Rincewind the wizard (or wizzard). Hes even got it written on his hat so you know hes a wizard. Hes the anti-hero: a coward so abject that he is the exact opposite of those heros who save cities or rescue cats from burning buildings. Hes in several books...
later you get the Guards, Death and the Witches. These groups of characters appear in books in no order for the whole series, but each time a book is based on them it is sort of acontinuation of the previous book. That is to say, each book is a stand alone and complete story, but whatever happens in the previous book has still happened in the next book.
The major city which is the main focus in the books is Ankh Morpork, and this developes as cities dow ith new technologies and new leaders... you will come to love the Patrician. Hes a tyrant and makes no effort to hide the fact, but he is a semi-benevolant leader whos main interest is that the political affairs of the city-state and of neighbouring countires remain level enouhg for everyone to be productive and him to still be in charge.
He is very good a annoying Sam Vimes, who is flagrantly the best character in the books due to the fact that hes basically Dirty Harry with more bloodlust.
If you want to get the whole thing done properly, start at The Colour of Magic and read the inside first pages for a list of books to follow. However, the writing style and even the discworld has evolved a lot since that book was written (years ago now!) and, to be honest, while its a great book its just weird to read it again now that ive read the most recent ones.
If you want to go series by series, heres a list
I recommend reading the Guards series because its the funniest and, to my mind, has the most interesting plots:
Rincewind / Wizards
The Colour of Magic
The Light Fantastic
Mort (cameo)
Sourcery
Faust Eric
Interesting Times
The Last Continent
The Witches (Granny Weatherwax and Nanny Ogg)
Equal Rites
Witches Abroad
Lords and Ladies
Maskerade
Carpe Jugulum
The Guards
Guards! Guards!
Men At Arms
Feet of Clay
Jingo
Night Watch
Thud!
Death
Mort
Reaper Man
Soul Music
Hogfather
Theif of Time
(mods can edit this if theres a mistake... which there isnt
)
There are lots of other books though, some dont have any "normal" characters in them at all, like Pyramids (which is excellent). There are other sets of characters like the History Monks (Men in Saffron) and The Wizards who dont really have their own set of books but turn up a fair bit.
Theres also books that contain practically every set of characters but arent focused on any of them, like Going Postal.
Short answer: yeah, theyre good