You can read the Harry Hole novels out of sequence but it is far better to read them in the order they were written.
Sadly the first two of the series are seemingly unobtainable. The Bat Man being the first and The Cockroaches the second were either never translated into English and published or so few copies were printed there are none available second hand. If any one reading this has a copy of these books and wishes to sell or knows where I can get them please let me know.
The first available in English is the Redbreast, followed by Nemesis, next is Devil's Star and last is this one, the Redeemer. I believe the next has been published in Norway, the Snowman, and is to be published in the UK some time next year.
Nemisis was published in English after Devil's Star which is a great shame as the recurring theme of Hole investigating one of his fellow Inspectors kicks off in Redbreast and continues through Nemesis and reaches it conclusion in the Devil's Star.
Nesbo writes some of the best detective thrillers I have ever read. If you know Mankell's Wallander books you will really enjoy Nesbo. You will already be used to dealing with Scandanavian names and places which I found takes some getting used to as does the rather introspective style of writing with the hero examining his flaws and failings throughout the text. This may sound dull but far from it. Nesbo integrates his hero's flaws into the plots and his plots always take you to new and unexpected places.
Read but read after you have read Redbreast etc.
Amazon, if you have any influence with Random House or any other publisher please get Bat Man and the Cockroaches published in English and please get Snowman out as soon as you can!