Finished A Drink Before the War the other day and am probably halfway through Darkness, Take My Hand. Awesome books if you just want some mindless reading of a good suspenseful thriller, but the series also develops various thought-provoking themes for a more indepth reading. Plenty to think about.
I didn't mind not starting at the beginning - it was fun reading some of the back stories of several of the events mentioned in GBG. I'll probably end up reading everything listed below.
From wikipedia: http://en.wikipedia.org/wiki/Dennis_Lehane
The Kenzie-Gennaro novels:
A Drink Before the War (1994)
Darkness, Take My Hand (1996)
Sacred (1997)
Gone, Baby, Gone (1998)
Prayers for Rain (1999)
Other works:
Mystic River (2001)
Shutter Island (2003)
Coronado: Stories (2006)
The Given Day (2008), forthcoming