I had a lot of trouble with tWA because it was just a bunch of talking heads discussing how clever they were for the entirety of the novel. I think Bujold writes terrific internal monologues, but tWA lacked some of the meat that made SoH so enjoyable. There was much more a sense of tension between Cordelia and Aral, not to mention a sense of danger (despite having read tWA and knowing what was coming.) I never really felt like Miles was in danger, because some coincidence or clever idea would pull him out of the fire.
I liked that The Warrior's Apprentice dealt with depression and other mental illnesses in a fairly grounded way. I'd probably rank it above The Vor Game for that.
So right now for me it would be Falling Free > Shards of Honor > The Warrior's Apprentice > The Vor Game
I know that quite a bit of time passes over the course of this series, so I am hoping that Miles matures a bit in later books.
Not that any of the books are bad.