the Hainish Cycle novels share a setting but not a plot through-line. The first three are perhaps slightly more related to each other but Darkness can be & usually is read cold. It is widely considered (and i agree) to be one of Ursula's masterpieces and makes a note-perfect introduction to the author.
FWIW, if you enjoy modern humane SFF with its emphasis on the intersection of psychology, relationships & society, UKLG is the key figure in developing that style.