The Magicians Nephew comes first, but the printer messed up and put it something like fourth or fifth in printing back when the series first came out.
SO, the first book ended up being The Lion, The Witch, and the Wardrobe.
(Or so the myth goes.)
Honestly, I figured C.S. Lewis had done a bit of tinkering with it as it makes the series somewhat more interesting as you start out first with the mysterious Wardrobe.
(Magicians Nephew explains where said Wardrobe came from.. among the origins of other things.)
In short, there is an order they must be read in.