Start with Northern Lights (published as The Golden Compass in North America), then The Subtle Knife, then The Amber Spyglass. The Book of Dust trilogy (La Belle Sauvage, The Secret Commonwealth) is a companion series — read it after the main trilogy.
La Belle Sauvage is a prequel, set before the events of Northern Lights when Lyra is a baby. However, Pullman recommends reading it after the original trilogy so you already know Lyra's world. The Secret Commonwealth is set ten years after The Amber Spyglass.
They're the same book. Northern Lights is the original UK title; The Golden Compass is the US title. The content is identical.
