2 first, then 358/2 Days. The games were made to be understood in release order - 358/2 Days is a game that is made with the assumption that you've played Chain of Memories and KH2.
To be honest a good part of the mystery of KH2 is from people who didn't play Chain of Memories, since that game is the sequel to KH1 and takes place right before 2. CoM is where you get familiar with the organization, Namine, Axel... it's where you find out why Sora is in the pod, why Riku is the way he is, and a sneak peek at Roxas and Twilight Town. When you play CoM and KH2, you gain the knowledge of the structure of the group, and how they fight, and some basic motivations. That's where 358/2 Days comes in - wow surprise, there's a 14th member, what's their story? And here's the organization members you know in a new, more casual context, with explanations of what was going on behind the scenes of the prior 2 games. You also get some set up for future games. "Huh, that character looks like Roxas... but what's with that outfit, and why do they look like that in the first place?" is a question that is answered in full in Birth By Sleep, for instance.
A lot of the "whoa confusing" commentary about KH as a series is resolved by just playing games in release order instead of going the Star Wars fan route of finding convoluted ways to justify not watching the prequels after the OT.