To read Less Wrong systematically, read the Sequences. The Core Sequences are a collection of posts that focus on fundamental rationality skills, and they are the foundation for most of the concepts discussed on Less Wrong. The Core Sequences were written by Eliezer Yudkowsky between 2006 and 2009 on economist Robin Hanson's blog Overcoming Bias.
The best way to read through the Sequences is via the Sequence index, which lists Yudkowsky's posts in logical order.
There is also a dependency tree of all of Eliezer Yudkowsky's posts from November 2006 to December 2008 that can be used as a more thorough index of the material. In addition, Less Wrong users have created several alternative indexes of the Sequences: 1 2
Here is a short sample of posts from the Sequences:
In addition to the Sequences, Less Wrong contributors blog about cognitive science, statistics, philosophy, and other topics related to epistemic and instrumental rationality. An archive of all of Less Wrong's articles, dating back to 2006, can be found here. Here is a sampling of content from the main blog: