Short version:
The Cosmere is the universe where most of Sanderson's novels take place.
EDIT: I've been informed my post has some spoilers to it. To my knowledge, the only place with this information clearly given to far is Misborn: Secret History. So if you plan on reading that, I would do that first. I highly recommend the Mistborn books. They are what got me into the Cosmere. Here's a spoiler tag.
While it is cool to find connections in the cosmere, you can enjoy seperate series without worrying about the cosmere too much. However, if you read Warbreaker, some things in WoR will be a lot cooler. I recommend reading the Mistborn books after that.