These are written by Nasu (unlike most TM stuff that comes out nowadays).
It's recommended that you read/watch/play them in the given order, however you can add other entries in between like reading KNK LN before the movies, playing Tsukihime PLUS+DISC or Kagetsu Tohya between Tsukihime and FSN or reading/watching Fate/Zero between F/HA and MahoYo etc.
- Kara no Kyoukai (movies)
- Tsukihime (VN)