One can easily take the early parts of this series on their own, and even that will yield some sweet (in multiple senses) character studies such as "Dear Sweetie Belle" or Morning Glory
which are more than worth the relatively short time it takes to take them in. However, the meat of the stories lies in the subtle hooks and callbacks which slowly assemble a greater, and rather more sinister, picture, with Jade explicitly taking cues from Stephen King's multiverse in structure if not content. I found myself spending the whole afternoon on this series after stumbling across it, and even once fully read it is slow to leave one's brain.
The one aspect of these stories that can be hard to countenance is the treatment of some of the older characters accompanying the darker overall arc. "Lost in the Night", in particular, has both Shining Armor and Princess Luna as oddly snide and quick-tempered, which will not help with any fans who are already turned off by the thought of SA starting an affair at all, and Princess Celestia's first appearance later in the series jarringly brings out a more arrogant side. Again, though, these pieces are short, and all of the characters are ultimately treated sympathetically, if not fully excused.