As it happens, I acquired Legion Lost a couple of years before the collection came out. Only eBay purchase I've ever made where the seller provided the issues still in the subscription mailers.
I tend to split superhero comics fans into "People who like Krypto" and "People who don't like Krypto."
Basically, if you miss the wonder of a dog flying around in a little Superman cape, you're in the wrong hobby.
Must read Legion of Super-Heroes in my opinion (keep in mind I am new to Legion as of last summer, when I went completely bananas for the Legion. Fact, the multiple versions and handful of revisions is the Legion's greatest stength, and not as confussing as people tend to make it out. Most of the breaks are pretty clear cut, and each version has its stories worth reading)
The Great Darkness Saga Deluxe HC (original Legion) - Does a really REALLY good job introducing you to the Legion of that time period. As it reprints material before and after The Great Darkness Saga, giving you lots of context. If you like, keep reading into The Curse Deluxe HC)
Legion Lost (Reboot Legion) - Easily of my favorite sci-fi super-hero epics of all time. Stand alone. Is great. Dan Abnett and Andy Lanning took over Legion of Super-Heroes a few months before this maxi series took over for a year. The two story arcs that lead into Legion Lost; Legion of the Damned and Widening Rifts are also really good. But unfortunately except for Legion of the Damned being reprinted in a 100-page spectacular about the time the Legion Lost HC came out its not collected in a trade. Frankly I'm kinda pissed they didn't release a trade of Legion of the Damn/Rifts BEFORE the upcoming Legion Worlds collection. Legion Worlds is great, but Legion of the Damned TP would be better. Anyway.... LEGION LOST IS ACES!
Teenage Revolution/Death of a Dream (Threeboot Legion) - The first 13 issues of Mark Waid's 'Threeboot' Legion of Super-Heroes is just sublime. One of the greatest interpretations of the Legion. Unfortunately the quality of the series tanks soon after. So I like to stop reading at issue 13. Which are collected in two nice fat trades. Needs a Deluxe HC mega collection badly.
In terms of collected material. That's probably the best of the best IMO. Giffen's 5-Years Latter era is great, but probably better with some Legion under your belt first. The current version of the Legion is okay. And honestly worth reading regularly. But its just not quite as good as it can be. Skip the new Legion Lost. Its rubbish.