TLDR Version: If you have both handy, then read Midnight Thief first. However, if you only have Poison Dance, it also works to start with that.
Longer version:
Starting with Midnight Thief gives you an emotionally smoother experience. There are fewer unexpected bumps along the way, and you may an easier time caring about the characters in Poison Dance if you already know them from the novel. Midnight Thief does spoil Poison Dance in a major way, but I don’t think it’s the kind the spoiler that ruins the story. But — if you’re the kind of person who absolutely does not want to know what happens, then you might want to read Poison Dance first.
Starting with Poison Dance is much more jarring. You will most likely be surprised or taken aback by things that happen, and you may or may not like those surprises. That said, there is a good-sized contingent of people who recommend starting with Poison Dance, including Tanja, Mogsy, and Lauren. The main advantage is that you get James’s backstory, and it will likely color your view of him in Midnight Thief and give the story more depth.
A few more random facts. Poison dance was written after Midnight Thief but published before. Also, the two stories are not quite the same. Poison Dance reads older — the violence is more matter-of-fact, and there are more adult themes. This is mainly because it’s told from the the point of view a 25-year-old hardened assassin. Midnight Thief, told from the point of view of a 17 year old girl thief, also has a great deal of violence, murder, and intrigue, but the overall tone is not as gritty. Midnight Thief is rated 12 and up by my publisher. Poison Dance would probably be rated 14 and up.
So… those are my thoughts. Clear as mud? And a shout out to early readers who offered feedback on the reading order question via either email or twitter. In addition to the ones mentioned above: Nikki, Crystal, Kristen, Jen, Faye. I hope I haven’t forgotten anyone. Let me know if I did!