You want generational fic, this series is for you. The four books are set at roughly fifteen-year intervals, so people being born in one book are teenagers in the next and then parents after that. Or, not parents. You get the idea.
Reading this series in a lump is definitely the way to do. The author has a deft, deft hand with the dramatic unity of little details. (I see there's a compendium out of the first two books; that's a good start.)
(Baltasar and his lieutenant prefigure the heck out of Marcus and Yardem in Abraham's new series.)
Thematics: the price of nationalism, or patriotism. (I'd say "price of power" but they're all power.) The Khaiate cities have been lording it over the rest of the world for generations. The rest of the world (correctly) perceives them as a threat to everyone else's existence. They've been plotting to get out from under since the first book, but this is where it comes to a head.
Through most of the book, I was working up a thesis that Abraham's brand of fantasy (in this series) is unusually amoral. The andat have a magical price, but it's visited on those that don't get the power. There's no proportionality; magic is not (as it so often is) the author's proxy hand of justice or judgement. (Start with Tolkien, move on to the rest of the genre.)
Then I got to (and recalled the details of) the ending. Pretty much scrapped the thesis right there.