It starts out slower, but when it gets going, it really gets going. None of that slow buildup is wasted though - it's largely used for worldbuilding and character development, which are two of this series' great strengths.
Since all of the games in this series are tightly connected, unlike in Persona, Tales or Final Fantasy, I would highly recommend starting with the first game, Trails in the Sky. After that, play Trails in the Sky SC, then this game, then Cold Steel 2 when it comes out. I would also suggest not viewing any trailers or other promotional material for games past where you're at.
While you won't necessarily be lost with regard to CS1's story if you start with it, a LOT of subtext will go over your head, you won't understand the implications of some things, and some plot twists from past games will be spoiled. CS2 will be less kind with regard to this sort of thing.