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The volumes for each series are numbered in order. Generally speaking you can read in a pretty free order since they tend to summarize absolutely essential information whenever it comes up in varying levels of detail.
Main series:
Start from Hellboy volume 1. After volume 5 (Conqueror Worm), you can start B.P.R.D. or continue Hellboy. After finishing Hellboy you can do Hellboy in Hell, but I'd take a break.
B.P.R.D. is subdivided into 3 main series, each coming one after the other (Plague of Frogs, followed by Hell on Earth, followed by The Devil You Know). It's one looooong continuous story.
If you've read a good amount of these two main series you can try the spinoffs if you're really interested.
B.P.R.D. 194X comes before B.P.R.D. Vampire.
Abe Sapien after volume 2 comes in the middle of B.P.R.D. Hell on Earth, the first two volumes are self-contained.
The other spinoffs are mostly self contained, I'd read a volume of each to see which you prefer and go from there. IMO, Lobster Johnson, Frankenstein Underground, Koschi the Deathless, Witchfinder and the first two volumes of Abe Sapien are great. Hellboy & the B.P.R.D., and Sledgehammer 44 are okay. Rasputin, Rise of the Black Flame, and The Visitor are boring garbage and only for extreme completionists.
The Hellboy wiki has a detailed guide to what is in each trade/omnibus/library edition and everything that's uncollected.
Now, all that said, I'm overstating the need to read things in order. Hellboy is more like a web, where lore connections are formed across and between lots of the different series. The more of them you read, the more "the big picture" comes into focus, and the exact order of the connections you make isn't terribly important.You could start with Witchfinder, then read B.P.R.D., THEN Hellboy and it would probably make sense. Order of events is only really important within a series, if you read B.P.R.D. Hell on Earth before B.P.R.D. Plague of Frogs you'll have no idea what's going on.
