The Final Empire > The Hero of Ages > The Well of Ascension
Final Empire is a future classic. It works really well just by itself if that's the only book you've read, the Ocean's Eleven vibe I got from reading it, Vin's character progression. This is still my favorite Mistborn book to date.
I actually really loved Hero of Ages. I loved all the plot threads that you found out were laid well in advance and how they came together. I thought the avalanche was really good, and I absolutely LOVE the ending when everyone comes out of the cave into the new world. I did think the Kandra plot line took a while to get going.
Well of Ascension... pacing is my biggest issue. Characters, great. Sense of despair at all times... check. Plot twists... excellent. But the whole book seemed to drag in some sections where I wanted to get to the next section and get the plot going again.