And Penric's Demon is very much the least of the Five Gods series, IMO ;)

Note that the series is really a bunch of standalones. The Hallowed Hunt is set earlier, while The Curse of Chalion and Paladin of Souls are set later. The latter two share period and location, and a secondary character in Chalion is the protagonist in Paladin. Best to read the two in order, but you can't really call Paladin a sequel, the relationship is too loose.