I (and many others) believe the best place to start with Doc Smith's "Lensman" series is Galactic Patrol; and as I've said why, at length, in my review of that opus, I won't repeat it here.
"Gray Lensman" begins where "Patrol" left off, and never flags, from the start to the finish.
Smith at this point is a massively improved writer from the author of the earlier Skylark series, and much more confident in his characters: Richard Seaton, for instance, never has the moments of self-doubt that trouble Kinnison, and would certainly never burst into tears (as the latter does when his nurse won't feed him beefsteak in hospital!).
Even more unexpected is the development of an impish sense of humour, manifested in several places, but most notably in the exploits of Wild Bill Williams of Aldebaran II, in the present volume — surely one of the most entertaining episodes in the whole of Golden Age SF.
I've never understood critics — including the normally-perspicacious Brian Aldiss* — who say that Smith couldn't write. True, he probably never gave T.S. Eliot (his exact contemporary) any sleepless nights, and better authors have certainly stood on his shoulders; but the Lensman series is F-U-N, and without it the SF world would be a much duller place.
*in Billion Year Spree, later revised as Trillion Year Spree.