Being as occasionally the UK is a cultural wasteland, I've only read one or two of the Nameless series - - think they're excellent PI novels, and I think given the nature of the protagonist, it is likely not neccesary to read them in order.
But then I am one of the rare breed who has no trouble reading a series out of order unless there is a precise and planned chronology to events (ie, David Peace's Red Riding Quartet or Ray Banks's Cal Innes novels).
Anyway, Pronzini's series - the ones I've read - is very good.
I'm a big fan of Pronzini's and have read most of the Nameless series. In my opinion, the books in the early to mid 90s are the best - SENTINELS, DEMONS, EPITAPHS, and especially HARDCASE. The series as a whole is not all that hard-boiled but those titles sure are.
Of his more recent novels, BLEEDERS and MOURNERS are really good. I haven't read FEVER yet but plan to soon.