EDIT: this was a reply to someone asking if you can start with this one. But my cellphone really don't want to let me quote it.
Some fans will say that you absolutely HAVE to play everything, I can understand since Trails it's unique in it connected storyline across all games. (Kinda like the MCU)
BUT, to ask to everyone to play all games is kinda unreasonable... And the first one was released in 2000, so it's like almost 18 years if games to play the newest one. (But I have to defend that the Sky arc is the best one and Estelle is one of the best MCs in JRPGs ever)
YOU CAN start with the first game of all arcs and not be lost, just don't mash the skip button and read the text and you will be fine... since the story of trails series it's it main drawn it's what you would probably do.
The arcs on trails series are the following:
Sky - Sky 2 (picks just after Sky 1 ends) - Sky 3 (this one it's a epilogue kinda of game that set some plot points that are being resolved in Cold Steel 3)
Zero no Kiseki - Ao no Kiseki (sequel)
(these are PSP games that were never released in the west, a good fan translation is close to be released and a serviceable of Ao is already available)
Cold Steel 1 - Cold Steel 2 (direct sequel)- Cold Steel 3 (sequel with a timeskip) - Cold Steel 4 (direct sequel).
So you can start with CS1, Zero or Sky 1. If you start with a newer arc you just will lose some references. And don't think you will be lost about older characters because they always do some recap when reintroducing them (Hey it's X he is famous for Y and fights with W combat style and is from Z country).
Lastly, there is a small problem with CS3 that becomes bigger with CS4. These final two games want to close story points from Zero+Ao AND CS1 + CS2. And a lesser extent from Sky 2+3.
So you can play CS3 with just CS1 and CS2. But it's just like watching Avengers Endgame just watching the bigger avengers movies. For example I watched it without seeing Ant-Man, but I wasn't completely lost because they explained many times about the technology and why Antman was in another dimension, I just lost some jokes with him and didn't completely understand his last scene reunited with his companions. CS3 and CS4 without Ao+Zero will be something like that.
Starting with CS3 is like watching Endgame for your first avengers movie. Paying attention makes you able to understand the movie main story... but you will lose every reference about what people love in these characters. So I can't recommended to start with this one. Like I said early, at least you have to play CS1 and CS2.