James Lee Burke's great Robicheaux series needs to be read in
order, I would say. It is the story of the protagonist's
life, and later events do follow from the previous
installments. Burke brings you up to date, but he can't tell
you everything that happened before.
And Ellroy's LA Quartet of novels should be read in order,
too.
There are many others, but these two pretty much demand
it.
Best,
mrt
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