Paladin of Souls was my favorite of the three. It takes place about three years after the events in the first book and follows the adventures of Ista, the former Royina (Queen, I guess) of Chalion, and Iselle's mother. Poor Ista has had a very difficult life and now everyone thinks she's crazy. She's coddled within inches of her life, but finally finds a way to break out and have a bit of adventure. Then she gets it in spades.
Ista is a very enjoyable character- Bujold seems to specialize in these damaged, middle-aged protagonists and does them very well. There's a bit more romance int his one, but it goes delightfully unconventionally, and is resolved in a satisfying and plausible way. The climax is especially exciting.
There's a bit too much sword and sorcery-style action for my taste, but that's just me. I like my magic minimal or non-existent, and there is quite a bit in this world. Aside from that, my main quibble would be that Ista figures out how to use her gifts a little too quickly to be believed. Considering the lugubrious pace in general, you'd think she'd get more time to come to terms with what she's learned and figure out how to use it. As it is, she goes from nothing to advanced in what seems like seconds.