His Dark Materials is definitively a series that needs to be read together. 
The Golden Compass is definitely a "first book" - while it does have a beginning and end of it's own contained adventure, it also has a lot of world building set-up that you need to keep reading to get more information on.
The Subtle Knife felt like a filler book. The Subtle Knife (the item in the book) is an important piece of the overall puzzle and I understood why it had it's own book but I wish more of the overall plot was revealed in this book, especially because...
The Amber Spyglass was packed full of follow-up information from world-building in the first two books and the addition of a few new species and answers to the questions that have been asked throughout the books.
I would have liked to see the lore spread out a bit more throughout the three books rather than having the majority of it crammed into the final book.
The world is well envisioned albeit crowded. At times I felt a little overwhelmed with the next new species or faction or scientific discovery was introduces. I liked the characters and especially liked that Lyra is an unassuming heroine. She doesn't know she has a destiny, she makes mistakes and her only driving force is to do what's "right".
As a series I'm giving it 4 stars, but individually the books are only getting 3 stars from me.