If you wanna start the When they cry series, then start by Higurashi, then Higurashi Kai (1), then Umineko, then Umineko Chiru, then Ciconia, then Ciconia Phase 2.
If you want some other works that are also part of the cosmology, you can play Higanbana (composed of short stories, so kinda easy to read), Trianthology (no english translation available), Rose Gun Days, Rewrite and then Harvest Festa, etc. Other mangas that are also part of the comology are Hotarubi (preferibly read after The First and Last Gift, a prologue of Hotarubi that should be read after Umineko), or Harem Royale (not much connection to anything besides some references to other characters). When you've played most of the works you can also watch 07th Theater 1 & 2.
(1) After Higurashi Kai you can watch/read Higurashi Gou and then Sotsu/Meguri, though those are only in the version of Anime/Manga. If you don't like Sotsu or Meguri, there is a short novel called "GouSotsu Another End" that kind of rewrites the end of Sotsu. You can watch them either after Kai (it is a continuation), or after Umineko or Ciconia if you wanna understand more references.
And... I think I'm not missing anything