Fourteen books, one story. Read in publication order - it's the order Jordan wrote it in, and the order Sanderson picked it back up in after him. New Spring (the prequel) is worth saving for after book 5, once you know who you're meeting.
The Eye of the World
Robert Jordan
The Great Hunt
The Dragon Reborn
The Shadow Rising
The Fires of Heaven
Lord of Chaos
A Crown of Swords
The Path of Daggers
Winter's Heart
Crossroads of Twilight
Knife of Dreams
The Gathering Storm
Robert Jordan, Brandon Sanderson
Towers of Midnight
A Memory of Light