Good Question!
Chronologically, some parts of them bounce around through time and reference each other, but the most cohesive play order is:
1. The Virgin
2. Lyn;Lin
3. Chris Saffron goes to the Movies
4. Alive
5. Mythos
6. The Lost Sign
7. Universe Eroda 1982
8. Saya no Jenerikku Anime Gemu
9. Saya no Ikari
There's a lot of worldbuilding going on and four main characters that appear in some variation or another throughout the entire series.