The great thing is that each trade/mini is pretty much self-contained. That's what keeps the storytelling so strong. Although, lately it has been a little more connected. In B.P.R.D., anyway.
Hellboy tpbs in chronological order
Seed of Destruction
Wake the Devil
Chained Coffin and other stories
The Right Hand of Doom
Conqueror Worm
Strange Places
The Troll Witch and Other Stories
Darkness Calls
Hellboy tpbs that are apart from the main series.
Hellboy, Jr.
Hellboy: Weird Tales Vol. 1
Hellboy: Weird Tales Vol. 2
B.P.R.D. tpbs in chronological order.
Hollow Earth & Other Stories
Soul of Venice & Other Stories
Plague of Frogs
The Dead
The Black Flame
The Universal Machine
Garden of Souls
Killing Ground
1946
The Warning
The Black Goddess(Later this years.)
Self-Contained for Mignola-verse
Abe Sapien: The Drowning
Lobster Johnson: Iron Prometheus
Hellboy novels and short-story collection chronology.
The Lost Army
Odd Jobs
Bones of Giants (My favorite!)
Odder Jobs
On Earth as it is in Hell (Fights angels!)
Unnatural Selection
The God Machine
The Dragon Pool
The All-Seeing Eye
Emerald Hell
Oddest Jobs
The Fire Wolves
Then, if you're a hardcore fan and/or liked the animated movies...
Hellboy Animated Vol.1: The Black Wedding
Hellboy Animated Vol.2: The Judgement Bell
Hellboy Animated Vol.3: The Menagerie
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Wow, that is a lot. Anyways, Mignola is pronounced "Minyola"