As other's before me have stated, play KH1 and KH2 before playing Birth by Sleep, but I would like to mention that there's also "Chain of Memories" to play through (which will extend your enjoyment of the game series, at least in my opinion), Chain of Memories is like a KH 1.5 (taking place between the events of KH1 and KH2), its currently available for the GBA and PS2 (I found the GBA version to be the best, thought the PS2 version has cutscenes which are quite enjoyable), it will introduce the existance of Organization 13 (which are sort of the main villain organization for the KH series after KH1).
Then after playing KH1, KH: Chain of Memories, and KH2, I reccomend diving into KH: 358/2 Days (if you're really into the series), it serves as a semi-prequel to KH2, giving details as to the character Roxas and who he is (it also helps understand many of the events that transpire during KH2 and KH: Chain of Memories, and perhaps preparing you for KH: Birth by Sleep). Birth by Sleep is the last of the titles I would play (thought to fully understand it you really only have to play KH1 and KH2, I do reccomend you play all of the above titles to get a full enjoyment of both the storyline and series itself.
To recap, this is the order I would recommend playing the games: -KH1 (for PS2), -KH: Chain of Memories (available for PS2 or GBA), -KH2 (for PS2), -KH: 358/2 Days (for DS), and finally -KH: Birth by Sleep (for PSP).
Hope you enjoy the KH series, its truly a marvelous RPG series that is sure to bring enjoyment and a smile to your face.
-V
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